The purpose of this study is to concentrate on the investigation of days-of-week effect on Tehran Stock Exchange and its comparison with other emerging markets. Using Classical Linear Regression (CLR) as well as Autoregressive Conditional Heteroskedasticity (ARCH) models it in indicated has indicated that there is significantly positive total return on Saturdays and significantly negative total return on Sundays. There is no significant return on the other days of the week. So, one may suggest that it would be reasonable to sell on Saturday and buy it on Sunday. Comparing this result with that of other emerging stock markets, it can be concluded that days- of- week effect on returns of Tehran Stock Exchange is different from other emerging markets.
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