Applying the ELECTRE Method to Determine the Effects of Calendar Anomalies on the Index Returns of Banks Listed on the Tehran Stock Exchange

Advances in Mathematical Finance and Applications

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 10 تیر 1402

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2022.1960677.1759

نویسندگان

sahand Vahabi¹؛ Bahareh Banitalebi Dehkordi^{* 2}

¹Department of Accounting, Shahrekord Branch, Islamic Azad University, Shahrekord, Iran

²Department of Accounting, Shahrekord branch, Islamic Azad University, Shahrekord, Iran

چکیده

In today's world, financial markets, as the main arteries of any country's economic system, have created an attractive environment for investors, and therefore it is necessary to identify the behavior of investors in this space and variables affecting prices and stock returns in these markets. The purpose of this study is to use the method of random dominance analysis and electrification technique as a new method in financial research to investigate the effect of calendar anomalies on the index returns of banks listed on the Tehran Stock Exchange in the period 2016-2020. Findings show that according to the three main hypotheses that there is a significant difference between the returns of the banking industry index on Saturdays to Wednesdays, in the first, second, third and fourth weeks of each month and in the months of April to March based on accuracy Market efficiency assumptions were formulated, all three hypotheses were rejected. It was also found that Wednesdays and the second weeks of each month are the best time to invest in the banking sector. In addition, June is the best and March is the most unsuitable month of the year to invest in this field.

کلیدواژه‌ها

Calendar anomalies؛ Index efficiency؛ Stochastic dominance analysis؛ ELECTRE method