This study investigated the effects of the calendar anomalies on Tehran Stock Exchange (TSE). The statistical population in this study includes listed companies in Tehran Stock Exchange and listed companies over an 8 year period starting from 2002-2010 were selected as the statistical sample. In this study the dependent variables are stock price index and transaction volume and the independent variables are weekdays, months and seasons. The data collected was analyzed using the SPSS statistical package. Research findings shows that in the weekend, summer and the first and last months of every year the stock price index has increased but the increase in transaction volume does not show significant difference over the period under study.
