Effect of Ramadan month on the stock price, trade volume and index of Tehran Stock Exchange in the minerals and mining industry

Efficient market theory is a theory among all social science theories that most attention and study has been done on it. After many studies on efficient market theory and the degree of market efficiency against the efficient market were presented. Paradox and evaluation of evidence on the market, efficient market theory came into being. In recent years, investors learned that the series irregularities (calendar effects) in the capital market, there are additional efficiencies that can be gained through them. This study intends to investigate on the effect of Ramadan month stock price, trade volume and index of Tehran Stock Exchange the minerals and mining industry. Data relevant to independent variable which is for a three-month period of before Ramadan, Ramadan, and after Ramadan, has been converted to quantity by the use of virtual variables. And stock price, trade volume and stock index has been considered as dependent variable. In this study, Variance analysis and repetitive measures (RM ANOVA) have been used. To test the research hypotheses,21 companies accepted in Tehran stock exchange (in the minerals and mining industry) from 2006 to 2011 have been selected. The findings offer that there is a significant relationship between Ramadan month and stock price, trade volume and there is not any significant relationship between Ramadan month and Stock index.