The Study of the Relationship between the Months of Muharram and Safar and the Financial Performance of Tehran Stock Exchange

One of the investigations that are poorly conducted in market efficiency is the investigation of the presence or absence of seasonal patterns which are identified based on historical information and considered by analysts for predicting the future. Since the purpose of any investor is to make profit, investors tend to buy stocks at low prices and sell them at higher prices. Accordingly, the study of the relationship between the months of Muharram and Safar and financial performance of Tehran Stock Exchange can be important. The main purpose of this study is to investigate the effect of the months Muharram and Safar on the financial performance of Tehran Stock Exchange. Sampling has been carried out through systematic elimination. The time domain of three years has been assessed and tested using time series data of the relationships between the variables. The results suggest that there is a significant and positive relationship between the effect of the month of Safar and stock return and that there is a negative relationship between the month of Muharram and stock return.