Studying the Monthly Effect on the Market Reactions Using Time-Space -Frequency Analysis (Case Study: Tehran Stock Exchange)

Document Type : Original Article


1 Assistant Professor, Department of Accounting, Razi University, Kermanshah, Iran (Corresponding author)

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

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


Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Exchange index volatility during the period from 2006 to 2016 is investigated. Two hypotheses are set and are tested using Space-Time-Frequency Analysis (continuous wavelet transform and short time Fourier transform).
The results of testing research hypotheses indicate that The Tehran Stock Exchange is inefficient. The volume of stock trading and the volatility of stock index in the first half of month are different from the second half of the month. Results also show that market tension in the first half of month is more than the second half of the month.


1)     Abbes, M. B., & Abdelhédi, Z. M. (2015). Does hajj pilgrimage affect the Islamic investor sentiment?. Research in International Business and Finance, 35: 138-152.
2)     Ahmeda, M., Mahmooda, A. N., & Md. Rafiqul Islam. (2016). A survey of anomaly detection techniques in financial domain. Future Generation Computer Systems, 55: 278–288.
3)     Alagidede, P. (2013). Month of the Year and Pre-Holiday Affects in African stock markets. South African Journal of Economic and Management Sciences, 1: 64-74.
4)     Al-Ississ, M. (2015). The holy day effect. Journal of Behavioral and Experimental Finance, 5: 60-80
5)     Amir arsalani, A. (1997). The importance of the capital market in the economy and the role of the primary market in the capital market, economy news magazine, 63: 54-57.
6)     Ariel, R. A. (1987). A monthly effect in stock returns, Journal of Financial Economics, 18(1): 161-174.
7)     Chordia, T., & Avanidhar, S., & Qing, T. (2014). Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?. Journal of Accounting and Economics, 58 (1): 41–58.
8)     Fama, E. F., & K. R. French (2010). Dissecting anomalies, Journal of finance, 63: 1653-1678.
9)     Halari, A., Nongnuch, T., Power, D. M., & Helliar, Ch. (2015). Islamic calendar anomalies: Evidence from Pakistani firm-level data. The Quarterly Review of Economics and Finance, 58: 64-73.
10)  Hui, E. C. M., & Chan, K. K. K. (2015). Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index. Habitat International, 48: 38–45.
11)  khajavi, Sh., & A. Ghasemi. (2006). The Efficient Market Hypothesis and Behavioral Finance, Journal of Financial Research, 20: 49-69.
12)  Le Bon, G. (1982). The Crowd: a Study of the Popular Mind. Marietta, GA: Cherokee Publishing Company.
13)  Loewenstein, G. F., Hsee, C. K., Weber, E. U., & N. Welsh. (2001). Risk as feelings, Psychological Bulletin, 127(2): 267-286.
14)  Loewenstein, G. F. (2000). Emotions in economic theory and economic behavior, American Economic Review, 65(8): 426–432.
15)  MacKay, C. (1980). Extraordinary Popular Delusions and the Madness of Crowds, New York: Crown Publishing Group.
16)  Malini, H., & Jais, M. (2013). Month of the Year and Pre-Holiday Effects in Indonesia and Malaysia Shari’a Compliance. Indonesian capital market review, VI (1): 38-48.
17)  Namazi, M. (Translator) (2000). Experimental research in the accounting: Methodological viewpoint. The first edition, Shiraz: Shiraz University Press.
18)  Nikoomaram, H., & A. Saidi. (2008). Studying Financial measures affecting investment decision in the stock exchange, Two Journals of Economic Essays, the Journal of Economic Essays, 9: 237-276.
19)  Pearce, K., & S. Douglass. (1995). Uncertainty and the Inflation Bias of Monetary Policy, (with M. Sobue), Economics Letters, 57: 203-207.
20)  Raee, R., & S. Fallahpoor. (2004). Behavioral finance, a different approach in the field of finance, Financial Research, 18: 77-106.
21)  Romer, P. M. (2000). Thinking and feeling”. American Economic Review Papers and Proceedings, 90(10): 439–443.
22)  Selden, G. C. (1996). Psychology of the stock market, Fifth Printing. Burlington, Vermont: Fraser Publishing Company.
23)  Shleifer, A. (2000). Inefficient markets: an introduction to behavioral, Oxford: Oxford University Press.
24)  Soltanifard, B. (2011). Calendar anomalies and changes in the Changes in prices of Companies (in the Tehran Stock Exchange), business management magazine, 11: 1-23.
25)  Vadiee, M. H., & M. Shokoohi zadeh. (2012). investigating financial measures affecting decision of Investors in Stock Exchange, Journal of Accounting: 8, 151-171.
26) Urquhart, A., & R. Hudson. (2016). Investor sentiment and local bias in extreme circumstances: The case of the Blitz, Research in International Business and Finance, 36: 340-350.