Evidence of and Explanation for Day-of-the-Week Effects in Thailand’s Government Bond Market

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Anya Khanthavit

Abstract

     This study is the first to provide evidence of day-of-the-week effects in Thailand’s
government bond market. Using daily returns on constant-maturity bonds constructed from
Thailand’s zero-coupon yield curves from Monday, July 2, 2001 to Monday, December 21, 2015,
it finds that the 1-month and 3-month bonds have significantly positive Monday returns, while
those of longer maturities of 3 to 15 years have significantly positive Thursday and Friday
returns. Alternative explanations for the effects are thoroughly examined. The only successful
explanation is that effects result from the bond auction. This explanation is new. For shortermaturity
bonds, the positive Monday returns are the returns on auction Mondays. For longermaturity
bonds, the positive Thursday and Friday returns are spillovers from the auctions of
more-than-15-year bonds.

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