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.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
References
Aggarwal, R., and Rivoli, P. Seasonal and Day-of-the-week Effects in Four Emerging Stock Markets.The Financial Review 24, no. 4 (November 1989): 541–550.
Akgiray, V.. Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts.Journal of Business 62, no. 1 (January 1989): 55–80.
Alexakis, P., and Xanthakis, M.. Day of the Week Effect on the Greek Stock Market.Applied Financial Econornics 5, no. 1 (February 1995): 43–50.
Barone, E. The Italian Stock Market: Efficiency and Calendar Anomalies.Journal of Banking and Finance 14, no. 2, 3 (August 1990): 483–510.
Bollerslev, T. Generalized Autoregressive Conditional Heteroskedasticity.Journal of Econometrics 31, no. 3 (April 1986): 307–327.
Condoyanni, L., O’Hanlon, J., and Ward, C.. Day-of-the-Week Effects on Stock Returns: International Evidence.Journal of Business, Finance and Accounting 14, no. 2 (Summer 1987): 159–174.
Connolly, R., A Examination of the Robustness of the Weekend Effect.Journal of Financial and Quantitative Analysis 24, no. 2 (June 1989): 133–169.
Corhay, A., and Rad, T.. Statistical Properties of Daily Returns: Evidence from European Stock Markets.Journal of Business Finance and Accounting 21, no. 2 (March 1994): 271–282.
Easton, S. and Faff, R. An Investigation of the Robustness of the Day-of-the-Week Effects in Australia.Applied Financial Econoinics 4, no. 2 (April 1994): 99–110.
French, K. Stock Returns and the Weekend Effect.Journal of Financial Economics 8, no. 1 (March 1980): 55–69.
French, K., Schwert, G and Staxnbaugh, R. Expected Stock Returns and volatility.Journal of Financial Economics 19, no. 1 (September 1987): 3–29.
Gibbons, M. R. and Hess, P. Day of the Week Effects and Asset Returns.Journal of Business 54, no. 4 (October 1981): 579–596.
Ho, Y. K. Stock Return Seasonalities in Asia Pacific Markets.Journal of International Financial Management and Accounting 2, no. 1 (1990): 47–77.
Ho, R. and Cheung, Y. Seasonal Pattern in volatility in Asian Stock Markets.Applied Financial Economics 4, no. 1 (February 1994): 61–67.
Hsieh, D. A. Testing for Nonlinear Dependence in Daily Foreign Exchange Rates.Journal of Business 62, no. 3 (July 1989): 339–368.
Jaffe, J. and Westerfield, R. The Week-End Effect in Common Stock Returns: The International Evidence.Journal of Finance 40, no. 2 (June 1985): 433–454.
Kamath, R. and Sitthichaikasem, P. An Investigation of the Day-of-the-Week Effect on a Nascent Stock Market: The Thailand Experience.The International Journal of Finance 7, no. 2 (Spring 1995): 1206–1226.
Keim, D. B. and Staxnbaugh, R. F. A Further Investigation of the Weekend Effect in Stock Returns.Journal of Finance 39, no. 3 (July 1984): 819–837.
Kim, S. Capitalizing on the Weekend Effect.Journal of Portfolio Management 14, no. 3 (Spring 1988): 59–63.
Lakonishok, J. and Smidt, S. Are Seasonal Anomalies Real? A Ninety-Year Perspective.Review of Financial Studies 1, no. 4 (Spring 1988): 403–423.
Lauterbach, B. and Unger, M. Calendar Anomalies: Some Perspective from the Behavior of the Israeli Stock Market.Applied Financial Economics 2, no. 1 (March 1992): 57–60.
Lee, I., Pettit, R. and Swankoski, M. Daily Return Relationships Among Asian Stock Markets.Journal of Business, Finance and Accounting 17, no. 2 (Spring 1990): 265–284.
Najand, M. and Yung, K. Conditional Heteroskedasticity and the Weekend Effect in S&P 500 Index Futures.Journal of Business, Finance and Accounting 21, no. 4 (June 1994): 603–612.
Santesmases, M. An Investigation of the Spanish Stock Market Seasonalities.Journal of Business, Finance and Accounting 13, no. 2 (Summer 1986): 267–276.
Smirlock, M. and Starks, L. Day-of-the-Week and Intraday Effects in Stock Returns.Journal of Financial Economics, 17, no. 1 (September 1986): 197–210.
Wong, K. A., Hui, T. K. and Chan C. Y. Day-of-the-Week Effect: Evidence from Developing Stock Markets.Applied Financial Economics 2, no. 1 (March 1992): 49–56.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Kamath, R.R., Chakornpipat, R. & Chatrath, A. Return distributions and the day-of-the-week effects in the stock exchange of Thailand. J Econ Finan 22, 97–107 (1998). https://doi.org/10.1007/BF02771480
Issue Date:
DOI: https://doi.org/10.1007/BF02771480