Test of the Day-of-the-Week Effect on Stock Market Volatility: The Case of the SET50 Index

  • Suthasinee Suwannapak คณะบริหารธุรกิจและการบัญชี มหาวิทยาลัยขอนแก่น
  • Sineenat Huhttarak คณะเศรษฐศาสตร์ มหาวิทยาลัยขอนแก่น
  • Surachai Chancharat คณะบริหารธุรกิจและการบัญชี มหาวิทยาลัยขอนแก่น
  • Nongnit Chancharat คณะบริหารธุรกิจและการบัญชี มหาวิทยาลัยขอนแก่น
Keywords: Day-of-the-week effect, Volatility, Stock market


Purpose of this research is to study the effect of the day of week on stock market volatility in case of SET50 index. The study includes an analysis of time series by using the daily data; Monday, Tuesday, Wednesday, Thursday and Friday. Data are the closing prices of the SET and were collected from July 1, 2013 to June 30, 2016 to tally 733 days. The results of unit root test by using Augmented Dickey-Fuller (ADF) test indicate that the data are stationary at the first difference. Further, those data were examined by statistical analysis i.e. OLS, GARCH(1,1), GARCH-M(1,1), EGARCH(1,1), TGARCH(1,1) and PARCH(1,1) models. The OLS and PARCH models reflect the day of week effect. The OLS find negative return on Monday but positive return on Wednesday. While the PARCH(1,1) find negative return on Monday but positive return on Friday. The results from the rest models are not significant. Model adequacy using the Akaike information criterion (AIC) and the Schwarz criterion (SIC) are considered. The results show that the PARCH(1,1) is the best model because of its lowest AIC and SIC values relative to another model. Investors may use the investment plan to maximize efficiency. Morover, the regulators can use the information to prevent the excess profits in the market. This will prevent some investors from gaining advantage in the information that will bring about the efficiency of the market.


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How to Cite
Suwannapak, S., Huhttarak, S., Chancharat, S., & Chancharat, N. (2019). Test of the Day-of-the-Week Effect on Stock Market Volatility: The Case of the SET50 Index. KKU Research Journal (Graduate Studies) Humanities and Social Sciences, 7(3), 134-145. Retrieved from https://so04.tci-thaijo.org/index.php/gskkuhs/article/view/226986
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