The main purpose in this paper has been to analyse the day-of-the week effect on the transitory Tehran Stock Exchange (TSE). Doing so, the day-of-the week effect hypotheses on TSE and different Industries have been tested. Concerning Heteroskedasticity, ARCH models, especially EGARCH-M is applied to test the effects. The estimated results indicate Negative Saturday and Wednesday effect for the whole period, while Negative Tuesday effect in fIrst period and Negative Saturday, Sunday and Monday effects in the second period. Individual Industrial indexes show the day-of-the week effects for 9 industries among the whole 15
industries; an indication of Inefficiency in TSE.
JEL Classification: G14, C12, C13, C22.
', './data/jte/coversheet/cover_en.jpg'))