Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange

Market efficiency paradigm and time patterns concerned, as "calendar anomalies" is a contradictory issue for researches. TSE's market participants have a negative understanding of the ۶th and ۱۲th month of the fiscal year and this issue is rooted in the obliged credit settlement of the brokerage industry at the year-end. The purpose of this study is to investigate the TSE's total return before and after brokerage firms' year-end. Using GARCH-PQ, and data of market index in periods between ۱۳۹۰ and ۱۳۹۶, we concluded that periods of۱st to ۲۲ndof ۶thand ۱۲th months,and ۲۲nd to the end of ۶th and ۱۲th months, have respectivelynegative and positive effectson TSE's stock index.

کلیدواژه ها:

Tehran Stock Exchange ، credit settlement ، calendar anomalies