The subject of financial markets efficiency is an issue which has been widely considered by economists and financial researchers since half a century ago. By studying the efficient market theory, the new financial management has confirmed the existence of calendar anomalies such as daily transaction effect, special monthly effect, holiday effect, etc as well as non calendar anomalies like initial public offering effect, neglected firm stock effect, political cycle effect, etc and acknowledges them as anomalies of the efficient market theory.
In fact, the recognition and existence or non existence tests of these anomalies are new subjects within investment area in recent years and several studies have been carried out in this regard by using different experiments, specially time series and regression model with dummy variables, which are much observable in developed as well as emerging markets.
By scrutinizing calendar and non calendar effects as well as full description of the efficient market theory anomalies, a sample of these effects known as “The effect of special months on Tehran Stock Exchange (TSE) is studied and results of the study are used to test the efficiency of the TSE.
Also, the effect of lunar months is considered in order to increase quality and quantity of the research.