Day of the Week Effect in Stock Returns by using Least Mean Square (LMS) Algorithm Regression

This paper propounds to examine the day of the week effect on the returns of daily stock price entire index, in Tehran Stock Exchange market during 1383 to 1388 and 1389. Various approaches have been presented for investigation about calendar effects on stock returns. We apply " Least Mean Square (LMS) Algorithm Regression" . In fact, Least Mean Square (LMS) Algorithm Regression avoids the classification of dummy variables to values of one and zero, as we do in the traditional statistical and econometric methodology. The paper concludes that during 1383 to 1388 will lead to a positive effect on the returns on Sunday and in the course of 1389, there is no efficiency significant.