Effect of Weekdays on Return of Dollar Transactions in Iran

Document Type : applied

Authors

1 Ph.D Candidate in finance, Faculty of Accounting and Management, Allameh Tabataba'i University, Tehran, Iran

2 Ph.D. Candidate in finance, Faculty of Management University of Tehran, Iran

Abstract

One of the financial market anomalies is called thecalendar effect or the effect of time periods. Calendar effect includes several topics. This study tried to investigate the effects of days of the week on the fluctuations of exchange rate of Dollar, in compare to Rial, in Iranian informal exchange market from 2010 to 2016 with three models. The most important results obtained from the proposed models were as follows: 1) The first model indicated that on Saturday there is less returns than Monday, which is the mid-week day. 2) In the second model, Tuesday has the least returns in comparison to Monday.3) In the last model, Thursday and Saturday has the most and least returns respectively. Saturday had also the least effect on conditional volatility. Moreover, the effect of risk premium in the last model was positive and significant which was an indicator of the logical consequences of this model.
JEL: C32, F31, G14
How to cite this paper: Hosseini, S. H., & Jafari Bagherabadi, E. (2016). The Days of the Week Effect on Return of Dollar Transactions in Iran. Quarterly Journal of Risk Modeling and Financial Engineering, 1(2), 225–243. (In Persian)

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Main Subjects

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Journal of Risk modeling and Financial Engineering
Volume 1, Issue 2 - Serial Number 2
December 2016
Pages 225-243

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