بررسی اثر TOM و اثر نیمه اول و دوم هر ماه بر روی بازدهی و حجم معاملات در بورس اوراق بهادار تهران

Several anomalies have been documented indicating that capital markets do not behave as rational as “modern portfolio theory” states in other words a set of emotional, psychological and irrational behaviors are common in capital markets. Several tests have been conducted to address this issue. A large number of these tests have justified the effect of behavioral factors on securities prices. On the basis of these results, the foundations of “Efficient Market Hypothesis” (EMH) can be questioned. Results opposing market efficiency led to a new paradigm called “behavioral finance” (vs. modern finance). Believing the flaws of current models which have a perfect rational basis, the new paradigm was to enrich financial models using psychology and decision-making sciences.         This research addresses the most recent fields in finance – behavioral finance. Behavioral finance discusses capital market behaviorology and its behavioral and psychological aspects. One of the most interesting issues in this field is “calendar effects” which focuses on market anomalies and market performances in different times during a day, week, month and year. In this research we try to discuss the existence of abnormal anomalies in within-the-month patterns of index returns. Stock returns are expected to experience a positive return in the beginning and the first half of the month, and a negative or below average return in the second half. In addition, regarding TOM effect as a calendar effect or calendar anomaly, it can be stated that the main part of each month's return is achieved on days around the beginning of a month (e.g. -1 to +4 or -2 to +3 or -1 to +3) and rest–of–the–month contribution is negligible.      In this research, we use Tehran Security Exchange as the population. Our sample includes two indexes of Tehran Security Exchange called TEPIX and TEDPIX. The effect of the first and second half of a month on returns and trades volume has been examined using t and F statistics, Regression and beta coefficient significance have been used to examine TOM effect. In fact, this research discusses the existence of within-the-month effect in Tehran Security Exchange through three hypotheses. Our results do not show within-the-month effect in Tehran Security Exchange. Consequently, one can not earn excess return through a trading strategy based on historical data. In fact, one can not earn excess return applying a simple strategy e.g. buying a stock at the beginning of the last working day in a given month and selling it on the fourth working day of the next month (buying and selling during TOM), or can not earn excess return by buy-and-hold strategy in the first half of the month, or can not record excess return by dividing trading month into first and second half or TOM and ROM days.