الأثار الموسمية كإحدى انحرافات الأسواق المالية عن فرضية السوق المالي الكفء : أثر شهر السنة على عائد و تذبذب السوق المالي السعودي باستخدام نموذجي AR (n)‎-Modified EGARCH (p. q)‎ و AR (n)‎-Modified EGARCH(p. q)‎-M

الملخص EN

The main aim of this study is to test the presence of the month of the year effect on the return and volatility of Saudi capital market, it also aims at examining the relationship between this calendar effect with risk measured by volatility.

the study used the daily closing prices of the general index of Saudi capital market (TASI) for the period from 1/9/2007 to 19/10/2017.

the study used the AR (13)-Modified EGARCH (3.3) model to investigate the month of the year effect on returns and volatility.

the study also adopted the AR (13)-Modified EGARCH (3.3)-M to link this calendar effect to risk represented by the volatility of returns.

the study results showed the presence of the month of the year effect on the volatility of general index of saudi capital market, while there was no such effect on the return of general index of saudi capital market.

the study also found that the risk does not explain the month of the year effect on the return.