Examining the Return and the Return Volatility of Investment Industry in the Months of Ramadan and Muharram

Document Type : Original Article



Behavioral finance is a new branch of finance that has been added valuable points of view on financial subjects, including the impact of special days on the financial market indexes. Hence, examining the effects of the religious months in Iran - the months of Ramadan and Muharram - is particularly important and has considerable results.
  In this paper examined the effects of the months of Ramadan and Muharram on the return and the return volatility of investment industry on the Tehran Stock Exchange. For this purpose, GARCH models and data in the period of 08/22/2009 till 08/21/2015 were used.  The achieving results indicate that if the time trend effect doesn’t take into account, the investment industry volatility decreases in the months of Ramadan and Muharram. But by taking into account the time trend, the return and the return volatility of investment industry increases with the start of the month of Ramadan and the effect gradually decreases during the  Month.


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