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 6th and 12th 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 1390 and 1396, we concluded that periods of1st to 22ndof 6thand 12th months,and 22nd to the end of 6th and 12th months, have respectivelynegative and positive effectson TSE's stock index.
Pakbaz, M., Ahmadi, S., Feshari, M. (2017). Stock Market Returns before and after Brokerage Firms' Fiscal Year-End:
The case of Tehran Stock Exchange. Iranian Journal of Finance, 1(1), 73-84. doi: 10.22034/ijf.2017.58457
MLA
Mahmood Pakbaz; Shahin Ahmadi; Majid Feshari. "Stock Market Returns before and after Brokerage Firms' Fiscal Year-End:
The case of Tehran Stock Exchange". Iranian Journal of Finance, 1, 1, 2017, 73-84. doi: 10.22034/ijf.2017.58457
HARVARD
Pakbaz, M., Ahmadi, S., Feshari, M. (2017). 'Stock Market Returns before and after Brokerage Firms' Fiscal Year-End:
The case of Tehran Stock Exchange', Iranian Journal of Finance, 1(1), pp. 73-84. doi: 10.22034/ijf.2017.58457
VANCOUVER
Pakbaz, M., Ahmadi, S., Feshari, M. Stock Market Returns before and after Brokerage Firms' Fiscal Year-End:
The case of Tehran Stock Exchange. Iranian Journal of Finance, 2017; 1(1): 73-84. doi: 10.22034/ijf.2017.58457
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