Calendar Effects in the Tehran Stock Exchange Approach to Stochastic Dominance Criteria

The aim of this study is to investigate and identify the effects of calendar weekdays and months of the year on the Tehran Stock Exchange. To attain this goal use the Tehran Stock Exchange index daily returns in the period beginning in 1386 until the end of 1392 and we have stochastic dominance criteria for the analysis that due to the non-parametric orientation has certain charm. The results indicated the existence of calendar effects in the Tehran Stock Exchange. On weekdays effects in the Tehran Stock Exchange, in terms of return Saturday dominance on other days and Sunday dominated by other days. The effects of months of the year, in terms of return April dominance on other months and November dominated by other months. Also due to calendar effects identified in the Tehran Stock Exchange, the efficient market hypothesis is rejected in the stock even at low levels.