THE DAY-OF-THE-WEEK EFFECTS IN THE 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.