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Return distributions and the day-of-the-week effects in the stock exchange of Thailand

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  • Ravindra Kamath
  • Rinjai Chakornpipat
  • Arjun Chatrath

Abstract

The Presence of the day-of-the week effect has been documented in equity markets throughout the world. Most of the studies reporting this pervasive pattern have relied on the OLS methodology. More recently, using more robust methodology, some inconclusive results have been report regarding the said anomaly. This study examines the day-of-the-week effect in the Securities Exchange of Thailand using OLS as well as GARCH models. We examine the aggregate stock index, SET, as well as its ten industry-classified indices over a 15-year period starting in 1980. Our investigation finds persisting day-of-the-week effects irrespective of the methodology employed. The findings are in direct contrast with earlier suggestions that the day-of-the-week anomalies are exaggerated by rraditional treatments to the data. Copyright Springer 1998

Suggested Citation

  • Ravindra Kamath & Rinjai Chakornpipat & Arjun Chatrath, 1998. "Return distributions and the day-of-the-week effects in the stock exchange of Thailand," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 97-107, June.
    • Handle: RePEc:spr:jecfin:v:22:y:1998:i:2:p:97-107
    DOI: 10.1007/BF02771480
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    1. Keim, Donald B & Stambaugh, Robert F, 1984. "A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
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    Cited by:

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    3. Sarika Mahajan & Balwinder Singh, 2008. "An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market," Vision, , vol. 12(3), pages 1-13, July.
    4. Didik Susilo & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2020. "Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(2), pages 196-204, April.
    5. Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November.
    6. S. Wahyudi & I.R.D. Pangestuti & R.D. Laksana & Hersugondo & Robiyanto, 2018. "Corporate Social Responsibility on SKI KEHATI Index Corporate Performance: A Case Study," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 93-104.
    7. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
    8. Kenneth Hogholm & Johan Knif & Seppo Pynnonen, 2011. "Common and local asymmetry and day-of-the-week effects among EU equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 219-227.
    9. Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
    10. Robiyanto Robiyanto & Rihfenti Ernayani & Rendi Susiswo Ismail, 2019. "Formulation Of A Dynamic Portfolio With Stocks And Fixed-Income Instruments In The Indonesian Capital Market," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 10(1).
    11. repec:ers:journl:v:vi:y:2018:i:4:p:93-104 is not listed on IDEAS
    12. Sarika Mahajan & Balwinder Singh, 2013. "Return, Volume and Volatility Relationship in Indian Stock Market: Pre and Post Rolling Settlement Analysis," Global Business Review, International Management Institute, vol. 14(3), pages 413-428, September.
    13. Sumra Abbas & Attiya Yasmin Javid, 2015. "The Day-of-the-Week Anomaly in Market Returns, Volume and Volatility in SAARC Countries," PIDE-Working Papers 2015:129, Pakistan Institute of Development Economics.
    14. Gurleen Sahota & Balwinder Singh, 2016. "The Empirical Investigation of Causal Relationship between Intraday Return and Volume in Indian Stock Market," Vision, , vol. 20(3), pages 199-210, September.

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