Research in Effect of Lunar Calendar Events on Stock Returns and Daily Trading Volume in Tehran Stock Exchange

Document Type : Original Article

Authors
Shadi Shahverdiani 1
Ahmad Goudarzi 2
Soheyla Vahdat Zirak 3
1 Assistant Professor & member of Islamic Azad University Ghods Sity Unit
2 Assistant Professor & member of Islamic Azad University E-Campus Unit
3 MA Degree of Financial Management of Islamic Azad University E-Campus Unit (Corresponding author)
Abstract
The analysis of the effects of calendar month as a branch of behavioral finance considers the efficiency and the amounts of transactions in some special times of the year, and seeks to know whether there is a notable difference between the efficiency and number of transactions before these specified days with the out-put and the amounts of dealings on other days. (according to what have been observed at world markets)
This research considers the effects of the calendar year Hegira on the out-put of stocks and the number of transactions at the stock market of Tehran during the years 1383-1390. The method of performing this research contains the analysis  through-out the method of panel data. The conclusion of this research proves that the effect of the Hegira months: Ramadan and Moharram on the stock market of Tehran is approved. Such an approvement that the efficiency is elevated during these two mentioned months. But no significant difference has been noticed due to the amounts of transactions during the mentioned months.
Keywords
Behavioral Finance
Calendar Effects
Ramadan effect
moharram effect