Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market

Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market

Risk and return of active mutual funds in Iran capital market. We apply multiple regression analysis, correlogram tests and GARCH model between 2008 – 2014 years to test the data. Findings show that there are some positive and negative relationships in return and risk of some mutual funds, however i...

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Bibliographic Details
Main Authors: Seyed Ali Hosseini, Mohammad Salehifar, Moslem Nilchi
Format: Article
Language:fas
Published: University of Tehran 2017-07-01
Series:تحقیقات مالی
Subjects:
behavioral finance
garch model
mutual funds
return
risk
Online Access:https://jfr.ut.ac.ir/article_64810_abc060b80d7dd97ecabdefc7ed278566.pdf
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spelling doaj-6579ee0327824741b7a0e83b8daaeb032020-11-25T01:20:34ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772017-07-0119221723810.22059/jfr.2017.212407.100625564810Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital MarketSeyed Ali Hosseini0Mohammad Salehifar1Moslem Nilchi2Assistant Prof., Faculty of Social Sciences and Economic, Alzahra University, Tehran, IranPh.D. Candidate in Finance, Faculty of Management and Economics, Science and Research Branch Islamic Azad University, Tehran, IranPh.D. Candidate in Finance, Yazd University, Yazd, IranRisk and return of active mutual funds in Iran capital market. We apply multiple regression analysis, correlogram tests and GARCH model between 2008 – 2014 years to test the data. Findings show that there are some positive and negative relationships in return and risk of some mutual funds, however it is not generalized to all mutual funds as a regularity or behavior. In other words, there is no irrational trend in mutual funds’ risk and return. According to the results, there is no irrational return which has significant effect on all mutual funds in the sample of this study. Therefore, the public opinion including a decrease in return of mutual funds during Ramazan and Muharram months is invalid.https://jfr.ut.ac.ir/article_64810_abc060b80d7dd97ecabdefc7ed278566.pdfbehavioral financegarch modelmutual fundsreturnrisk
collection DOAJ
language fas
format Article
sources DOAJ
author Seyed Ali Hosseini
Mohammad Salehifar
Moslem Nilchi
spellingShingle Seyed Ali Hosseini
Mohammad Salehifar
Moslem Nilchi
Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market
تحقیقات مالی
behavioral finance
garch model
mutual funds
return
risk
author_facet Seyed Ali Hosseini
Mohammad Salehifar
Moslem Nilchi
author_sort Seyed Ali Hosseini
title Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market
title_short Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market
title_full Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market
title_fullStr Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market
title_full_unstemmed Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market
title_sort examining the effect of ramazan and muharram on the risk and return of mutual funds in iran capital market
publisher University of Tehran
series تحقیقات مالی
issn 1024-8153
2423-5377
publishDate 2017-07-01
description Risk and return of active mutual funds in Iran capital market. We apply multiple regression analysis, correlogram tests and GARCH model between 2008 – 2014 years to test the data. Findings show that there are some positive and negative relationships in return and risk of some mutual funds, however it is not generalized to all mutual funds as a regularity or behavior. In other words, there is no irrational trend in mutual funds’ risk and return. According to the results, there is no irrational return which has significant effect on all mutual funds in the sample of this study. Therefore, the public opinion including a decrease in return of mutual funds during Ramazan and Muharram months is invalid.
topic behavioral finance
garch model
mutual funds
return
risk
url https://jfr.ut.ac.ir/article_64810_abc060b80d7dd97ecabdefc7ed278566.pdf
work_keys_str_mv AT seyedalihosseini examiningtheeffectoframazanandmuharramontheriskandreturnofmutualfundsinirancapitalmarket
AT mohammadsalehifar examiningtheeffectoframazanandmuharramontheriskandreturnofmutualfundsinirancapitalmarket
AT moslemnilchi examiningtheeffectoframazanandmuharramontheriskandreturnofmutualfundsinirancapitalmarket
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