[1] Abounoori, E., Tour, M. J. P. A. S. M., & Applications, i. (2019). Stock market interactions among Iran, USA, Turkey, and UAE. 524, 297-305.
[2] Ajayi, R. A., Mehdian, S., & Perry, M. J. (2004). The day-of-the-week effect in stock returns: further evidence from Eastern European emerging markets. Emerging Markets Finance and Trade, 40(4), 53-62.
[3] Alam, I. M. S., & Sickles, R. C. (1998). The relationship between stock market returns and technical efficiency innovations: evidence from the US airline industry. Journal of Productivity Analysis, 9(1), 35-51.
[4] Ariel, R. A. (1987). A monthly effect in stock returns. Journal of Financial Economics, 18(1), 161-174.
[5] Balaban, E. (1995). Day of the week effects: new evidence from an emerging stock market. Applied Economics Letters, 2(5), 139-143.
[6] Baldwin, G. H. (1982). The Delphi technique and the forecasting of specific fringe benefits. Futures, 14(4), 319-325.
[7] Bodie, Z., Kane, A., & Marcus, A. J. (2002). Investments. International Edition. New York, Boston, London.
[8] Box, G. E., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time series analysis: forecasting and control: John Wiley & Sons.
[9] Brockwell, P., & Davis, R. Time series: theory and methods. 1991. Springer, 21, 33-34.
[10] Brooks, C., & Persand, G. (2001). Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects. Applied Economics Letters, 8(3), 155-158.
[11] Brown, P., Keim, D. B., Kleidon, A. W., & Marsh, T. A. (1983). Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence. Journal of Financial Economics, 12(1), 105-127.
[12] Cataldo, I., Anthony, J., & Savage, A. A. (2000). The January effect and other seasonal anomalies: A common theoretical framework: Emerald Group Publishing Limited.
[13] Cholette, P. A. (1982). Prior information and ARIMA forecasting. Journal of Forecasting, 1(4), 375-383.
[14] Cholette, P. A., & Lamy, R. (1986). Mutivariate ARIMA forecasting of irregular time series. International Journal of Forecasting, 2(2), 201-216.
[15] Coutts, J. A., & Sheikh, M. A. (2002). The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997. Applied Financial Economics, 12(12), 863-871.
[16] De Alba, E. (1993). Constrained forecasting in autoregressive time series models: A Bayesian analysis. International Journal of Forecasting, 9(1), 95-108.
[17] De Gooijer, J. G., & Hyndman, R. J. (2006). 25 years of time series forecasting. International Journal of Forecasting, 22(3), 443-473.
[18] Ebrahimzadeh Shermeh, H., Alavidoost, M. H., & Darvishinia, R. J. J. o. A. R. o. I. E. (2018). Evaluating the efficiency of power companies using data envelopment analysis based on SBM models: a case study in power industry of Iran. 5(4), 286-295.
[19] Erdugan, R. (2012). The effect of economic factors on the performance of the Australian stock market. Victoria University,
[20] Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of finance, 25(2), 383-417.
[21] Fama, E. F. (1991). Efficient capital markets: II. The journal of finance, 46(5), 1575-1617.
[22] Fogarty, D. W., Hoffmann, T. R., & Stonebraker, P. W. (1989). Production and operations management: South-Western Pub.
[23] Guo, S., & Wang, Z. (2008). Market efficiency anomalies: A study of seasonality effect on the Chinese stock exchange. In: Handelshögskolan vid Umeå universitet.
[24] Jaffe, J., & Westerfield, R. (1985). The week‐end effect in common stock returns: the international evidence. The journal of finance, 40(2), 433-454.
[25] Kohli, R. K., & Kohers, T. (1992). The week-of-the-month effect in stock returns: The evidence from the S&P composite index. Journal of Economics and Finance, 16(2), 129.
[26] Kuria, A. M., & Riro, G. K. (2013). Stock market anomalies: A study of seasonal effects on average returns of Nairobi securities exchange. Research Journal of Finance and Accounting, 4(7), 207-215.
[27] Liano, K., Marchand, P. H., & Huang, G.-C. (1992). The holiday effect in stock returns: Evidnece from the OTC market. Review of Financial Economics, 2(1), 45.
[28] Lim, S., Oh, K. W., & Zhu, J. (2014). Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market. European Journal of Operational Research, 236(1), 361-368.
[29] Mazal, L. (2009). Stock market seasonality: Day of the week effect and January effect. Master’s thesis, Universidad del Pas Vasco/Euskal Herriko Unibertsitatea,
[30] Pankratz, A. (2009). Forecasting with univariate Box-Jenkins models: Concepts and cases (Vol. 224): John Wiley & Sons.
[31] Raj, M., & Kumari, D. (2006). Day-of-the-week and other market anomalies in the Indian stock market. International Journal of Emerging Markets, 1(3), 235-246.
[32] Ramezanian, R., Peymanfar, A., & Ebrahimi, S. B. J. A. S. C. (2019). An integrated framework of genetic network programming and multi-layer perceptron neural network for prediction of daily stock return: An application in Tehran stock exchange market. 105551.
[33] Rozeff, M. S., & Kinney Jr, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3(4), 379-402.
[34] Schwert, W. (2003). Anomalies and Market Efficiency, Handbook of the Economics of Finance, ed. Constantinides, Harris and Stultz. In: Elsevier.
[35] Seyyed, F. J., Abraham, A., & Al-Hajji, M. (2005). Seasonality in stock returns and volatility: The Ramadan effect. Research in International Business and Finance, 19(3), 374-383.
[36] Shermeh, H. E., Najafi, S., & Alavidoost, M. (2016). A novel fuzzy network SBM model for data envelopment analysis: A case study in Iran regional power companies. Energy, 112, 686-697.
[37] Thaler, R. H. (1987). Anomalies: the January effect. Journal of Economic Perspectives, 1(1), 197-201.
[38] Wachtel, S. B. (1942). Certain observations on seasonal movements in stock prices. The journal of business of the University of Chicago, 15(2), 184-193.
[39] Weigerding, M., & Hanke, M. J. B. R. (2018). Drivers of seasonal return patterns in German stocks. 11(1), 173-196.
[40] Wissema, J. (1987). Trends in Technology Forecasting: R&D Management. 研究技術計画, 2(4), 520.
[41] Yakob, N. A., Beal, D., & Delpachitra, S. (2005). Seasonality in the Asia Pacific stock markets. Journal of Asset Management, 6(4), 298-318.
[42] Ledolter, J., Box, G. E., Tiao, G. C., & WISCONSIN UNIV MADISON DEPT OF STATISTICS. (1976). Topics in Time Series Analysis IV. Various Aspects of Parameter Changes in ARMA Models (No. 499). Technical Report.