Day Features and Stock Market Performance

Document Type : Original Article

Authors

1 Ph.D. student of Accounting, Babol branch, Islamic Azad University, Babol, Iran.

2 Assistant prof., Department of Accounting, University of Qom, Qom, Iran

3 Assistant prof., Department of Accounting, Babol branch, Islamic Azad University, Babol , Iran.

Abstract

In this research, the effect of day characteristics as one of the most important environmental factors influencing the decision-making process has been investigated. Daily observations of 2011 to 2020 and ARDL regression were used. After performing statistical pre-tests, including mean, collinearity, autocorrelation, and non-homogeneity of variance. The results showed that variables such as wind speed, gold with a lag, daylight savings, January effect, and the calendar effect of holidays have a positive and significant effect on stock market returns. However, the gold variable has a negative effect on it. Additionally, Variables like gold with a lag, humidity, and wind speed have a positive effect on the volume of transactions. On the other hand, variables such as weather with a lag, horizon level, exchanges rate, gold with a lag, daylight, and Saturday effect have a negative effect on the volume of transactions.  Furthermore, the variables of temperature, humidity with one lag, Daylight with one lag, gold, and the calendar effect of holidays have a positive effect on the number of transactions. Conversely, variables like wind speed, weather with one lag, daylight, currency growth rate, horizon level, and the effect of Saturday have a negative effect on the number of transactions.

Keywords

References

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Financial Management Perspective
Volume 13, Issue 44
2023
Pages 33-58

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