Studying Investors Behavior and Monthly Effect Using Time-space-frequency Analysis (Case Study: Tehran Stock Exchange)

Document Type : applied

Authors

1 Assistant Prof, Department of Accounting, Faculty of Social Sciences, Razi University, Kermanshah, Iran

2 Prof, Department of Accounting, Branch of Isfahan (Khorasgan), Islamic Azad University, Isfahan, Iran

3 Assistant Prof, Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran

Abstract

Anomaly, are events and happening that cannot explain them with dominant theory. About the stock market, anomaly is placed in the face of efficient market theory, so that in the case of existing patterns predetermined provides conditions for stock trading strategy with excess returns (over a certain amount of risk). The aim of this study is to investigate the anomaly of Monthly Effect and its effect on stock trading volume and volatility of stock index on Tehran Stock Exchange in the period of 2005 to 2015. Two models are designed to investigate this issue and using space-time-frequency analysis (Continuous Wavelet Transform and Short-time Fourier Transforms) have been tested. The results obtained of models test of this study show that Tehran Stock Exchange is inefficient and stock trading volume and volatility of stock index in the first half of calendar month is different than the second half. The results also indicate that market tension in the first half of month is more than the second half of calendar month.
JEL: G11, G14
How to cite this paper: Dastkhan, H., & Shams Gharneh, N. (2017). Mohammadi, S., Dastgir, M., & Ghanbari, M. (2016). Studying Investors Behavior and Monthly Effect Using Time-Space-frequency Analysis (Case Study: Tehran Stock Exchange). Quarterly Journal of Risk Modeling and Financial Engineering, 2(2), 242–262. (In Persian)

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References

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