Investigating the Weekend Effect on the Trading speeds higher than usual traders ' on cumulative abnormal returns around seasonal earnings announcements
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Investigating the Weekend Effect on the Trading speeds higher than usual traders ' on cumulative abnormal returns around seasonal earnings announcements

Document Type : Original Article

Authors
1 Phd Student of Industrial Management of Financial Orientation , Rasht Branch, Islamic Azad University, Rasht, Iran.
2 Assistant Professor, Department of Accounting, Rasht Branch, Islamic Azad University, Rasht, Iran. (Corresponding Author)
3 Assistant Professor, Department of Industrial Management, Rasht Branch, Islamic Azad University, Rasht, Iran
4 Dr. Mehdi Fadaei Eshkiki Assistant Professor, Department of Industrial Management, Rasht Branch, Islamic Azad University, Rasht, Iran
Abstract
This study aims to investigate the weekend effect on the trading speeds higher than usual on traders' cumulative abnormal returns around seasonal earnings announcements. The sample of the study consists of 161 companies listed in Tehran Stock Exchange, covering a period of five years from the beginning of 2013 to the end of 2016. The results of this study show that in the time period of one month before and after the quarterly earnings announcements, trading speeds higher than usual of traders on Tuesday and Wednesday in the first quarter and in the third quarter of the year are higher than in the second quarter. Thus, it can be said that as the end of the fiscal year approaches and the speed of transactions increases, information asymmetry increases and leads to abnormal returns. existence of high trading speed of stocks leads to development of the theoretical framework of information asymmetry
Keywords

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