Day-Seasonal Efficiency of the Stock Exchange of Thailand

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Anya Khanthavit

Abstract

Market efficiency evolves with changing market conditions. Moreover, if the conditions are weekday dependent, the efficiency can be day-seasonal. In this study, I test for the day-seasonal efficiency of the Thai stock market and examine how it behaves over time. Using the daily returns on the Stock Exchange of Thailand index portfolio from April 30, 1975, to December 29, 2017, I find that the day-seasonal efficiency exists. However, it disappears as the efficiency of the market improves. The day-seasonal efficiency is empirically explained by the positive feedback strategies. The market has a delayed response to the information from foreign investors’ trading volume.

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