A study of return cyclical pattern monthly in Tehran stock (by using moving block bootstrap)

Calendar anomalies are the cyclical patterns which cannot be explained by fundamental factors in stock returns. One of the most important anomalies is the Months effect of year that their discovery is the opposite of market efficiency theory. Therefore، the purpose of this article is the examination of stock Anomalies monthly in Tehran Stock market in the period 1998-2012 through moving block bootstrap method and Percentile confidence intervals. The conclusion shows that Farvardin returns average has the positive، significant and highest return. Accordingly، the liquidity effect and Window Dressing theory could be an explanation to positive returns in the period 1998-2012.