The Relationship between days of the week and months of the year, Macro Variables of Economic and stock return in Tehran stock Exchange (TSE)

Undoubtedly discovering trends in the market and earn returns is one of the important issues from the perspective of an investor. Discovering the hidden angles, is very attractive. Abundant empirical evidence worldwide suggests that repeating patterns over time is possible. This efficient market concept and theories associated with it, is not compatible with the concept of performance based foundation of modern theories of financial market as the unpredictable behavior of the market has been long established. There are exceptions to the financial markets that show deviations from the rules of logic and rational that is in violation of efficient markets. One of these exceptions, "seasonality or calendar anomalies", is that certain patterns existing at different years, months, weeks and days will be approved. Irregularities include calendar, asymmetric distribution of returns in the days and months. Research hypotheses 1. The stock returns in December are different from the stock returns in other months in Tehran stock Exchange. 2. The stock returns in April are different from the Stock returns in other months in Tehran stock Exchange. 3. The stock returns on Saturday are different from the Stock returns on other days in Tehran stock Exchange. 4. The stock returns on Wednesday are different from the Stock returns on other days in Tehran stock Exchange. 5. There is a significant relationship between GDP variations and extraordinary return of season. 6. There is a significant relationship between inflation and extraordinary return of season. 7. There is a significant relationship between annual stock returns and extraordinary return of season. 8. There is a significant relationship between extraordinary efficiency risk (deviation of stock returns) and extraordinary return of season. To evaluate the relationship between stock returns and the months of H0 and H1 hypothesis, we used: H0: M1 = M2 H1: M1 ≠ M2 M1: The percentage of average daily stock returns in the month M2: The percentage of average daily stock returns in the remaining months To study the relationship between stock returns and days of a week and also the hypotheses H0, H1, we use: H0: D1 = D2 H1: D1 ≠ D2 D1: The percentage of average daily stock returns of the desired day [[ D2: The percentage of average daily stock returns in the rest of days a week To evaluate the relationship between changes in GDP and inflation wonderful seasonal efficiency of multiple regressions, we use the following: To evaluate the relationship between changes in GDP and inflation wonderful seasonal efficiency of multiple regressions in next year, we use the following: Result 1. There is no January effect in Iran. 2. The stock returns in December are different from the stock returns in other months in Tehran stock Exchange. 3. The highest stock returns between days of a week for Iran as for European and American countries are on Wednesday. 4. The lowest stock returns between days of a week unlike European and American countries are on Sunday. 5. The highest Stock returns in seasons belong to summer and the lowest belong to the winter. 6. The highest stock returns belongs to the first half of the year and the lowest belong to the second half of the year. 7. There is no significant relationship between GDP variations and extraordinary return of season. 8. There is no significant relationship between inflation and extraordinary return of season. 9. There is no significant relationship between annual stock returns and extraordinary return of season. 10. There is no significant relationship between extraordinary efficiency risks (Deviation of stock returns) and extraordinary return of season. Based on the results we find that Macro Variables of Economic does not effect season extraordinary return and we know some days and some months have extraordinary return that effect investors’ investing.