THE DAY-OF-THE-WEEK EFFECTS IN THE STOCK EXCHANGE OF THAILAND

Authors

  • สุรชัย จันทร์จรัส
  • สุธาสินี สุวรรณภักดิ์
  • สินีนาฏ หัตทะรักษ์
  • นงค์นิตย์ จันทร์จรัส

Keywords:

Day-of-the-Week Effect, Stock Exchange of Thailand

Abstract

          The objective of this study is to investigate the day-of-the-week effect on the Stock Exchange of Thailand. The GARCH models and daily close price of the Stock Exchange of Thailand (SET) index for the period from 1 January 1992 to 30 December 2017 for a total of 6,523 days of observations were used for estimation. The results revealed positive average daily returns for each day. However, the returns on Monday showed the highest variance; this instance was commonly found after holiday. Moreover, all 5 models including GARCH, GARCH-M, EGARCH, PARCH and TGARCH provided consistent results. That is, with statistical significance, Monday’s returns were most highly negative, while Friday’s returns were most highly positive.

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Published

2019-01-28

How to Cite

จันทร์จรัส ส., สุวรรณภักดิ์ ส., หัตทะรักษ์ ส., & จันทร์จรัส น. (2019). THE DAY-OF-THE-WEEK EFFECTS IN THE STOCK EXCHANGE OF THAILAND. Modern Management Journal, 16(2), 141–148. Retrieved from https://so04.tci-thaijo.org/index.php/stou-sms-pr/article/view/168369

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Section

Research Articles

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