Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange

Abstract

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 6^th and 12^th 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 of1^st to 22^ndof 6^thand 12^th months,and 22^nd to the end of 6^th and 12^th months, have respectivelynegative and positive effectson TSE's stock index.