16. Aggarwal, R. and Rivoli, P; 1989, "Seasonal and Day of the Week Effects in Four Emerging Stock Markets", The Financial Review, No. 24. ##
17. Ariel, R.A; 1990, "High Stock Returns Before Holidays: Existence and Evidence on Possible Causes", Journal of Finance, No. 45 (5). ##
18. Aydoggan, K. and Booth, G.G; 2003, "Calendar Anomalies in the Turkish Foreign Exchange Markets", Applied Financial Economics, No.13. ##
19. Bollerslev, T; 1986, "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, No. 31. ##
20. Cornett, M.M., Schwarz, V. and Szakmary, A.C; 1995, "Seasonalities and Intraday Return Patterns in the Foreign Currency Futures Market", Journal of Banking and Finance, No. 19. ##
21. Coutts, J.A., Kaplanidis, C. and Roberts, J; 2000, "Security Price Anomalies in an Emerging Market: the Case of the Athens Stock Exchange", Applied Financial Economics, No. 10(5). ##
22. Ding, Z., Granger, C. W. J. and Engle, R. F; 1993, "A Long Memory Property of Stock Market Returns and a New Model", Journal of Empirical Finance, No. 1. ##
23. Engle, R.F; 1982, "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, No. 50. ##
24. Engle, R.F. and Ng, V.K; 1993, "Measuring and Testing the Impact of News on Volatility", Journal of Finance, No. 48. ##
25. Fama, E.F; 1970, "Efficient Capital Markets: A Review of Theory and Empirical Work", Journal of Finance, No. 25. ##
26. Fama, E.F; 1976, "Efficient Capital Markets: Reply", Journal of Finance, No. 33. ##
27. French, K.R; 1980, "Stock returns and the weekend effect", Journal of Financial Economics, No. 8. ##
28. Henry, O; 1998, "Modeling the Asymmetry of Stock Market Volatility", Applied Financial Economics, No. 8. ##
29. Hilliard, J.E. and Tucker, A.L; 1992, "A Note on Weekday, Intraday, and Overnight Patterns in the Interbank Foreign Exchange and Listed Currency Options Markets", Journal of Banking and Finance, No. 16. ##
30. Kim, C.W. and Park J.W; 1994, "Holiday effects and stock returns: further evidence", Journal of Financial and Quantitative Analysis, No. 29 (1). ##
31. Kohers, T. and Kohli, R.K; 1991, "Week-of-the-Month Effect in Pacific Basin Stock Markets: Evidence of a New Seasonal Anomaly", Global Finance Journal, No. 2(1/2). ##
32. McFarland, J.W., Richardson Pettit, R. and Sung, S.K; 1982, "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement", Journal of Finance, No. 37. ##
33. Mills, T.C. and Coutts, J.A; 1995, "Calendar Effects in the London Stock Exchange FT- SE Indices", The European Journal of Finance, No. 1. ##
34. Mills, T.C., Siriopoulos, C., Markellos, R.N. and Harizanis, D; 2000, "Seasonality in the Athens Stock Exchange", Applied Financial Economics, No. 10(2). ##
35. Nelson, D.B; 1991, "Conditional Heteroskedasticity in Asset Returns: A New Approach", Econometrica, No. 59(2). ##
36. Ogden, J; 1990, "Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects", Journal of Finance, No. 45. ##
37. RabemananJara, R. and Zakoian, J.M; 1993, "Threshold ARCH Models and Asymmetries in Volatility", Journal of Applied Econometrics, No. 8. ##
38. Raj, M. and Thurston, D; 1994, "January or April? Tests of Turn of the Year Effect in the New Zealand Stock Market", Applied Economics Letters, No. 1. ##
39. Rozeff, M.S. and Kinney, W.R; 1976, "Capital Market Seasonality: The Case of Stock Returns", Journal of Financial Economics, No. 3(4).
40. Schwert, W; 1989, "Stock Volatility and Crash of `87", Review of Financial Studies, No. 3. ##
41. Selcuk, F; 1994, "Currency Substitution in Turkey", Applied Economics, No. 26. ##
42. Selcuk, F; 1997, "GMM Stimation of Currency Substitution in a High-Inflation Economy: Evidence from Turkey", Applied Economic Letters, No. 4. ##
43. Sentana, E; 1995, "Quadratic ARCH Models", Review of Economic Studies, No. 62. ##
44. Sharma, S.S. and Narayan, P.K; 2014, "New Evidence on Turn-of-the-Month Effects", Journal of International Financial Markets, Institutions & Money, No. 29. ##
45. So, J.C; 1987, "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement - A Comment", Journal of Finance, No. 42. ##
46. Tan, R.S.K. and Tat, W.N; 1998, "The Diminishing Calendar Anomalies in the Stock Exchange of Singapore", Applied Financial Economics, No. 8 (2). ##
47. Taylor, S; 1986, Modeling Financial Time Series, New York: John Wiley & Sons. ##
48. www.cbi.ir ##