Day-Seasonal Efficiency of the Stock Exchange of Thailand

Authors

  • Anya Khanthavit Thammasat Business School, Thammasat University, Thailand

Keywords:

Adaptive markets hypothesis, Evolving market efficiency, Day-seasonal efficiency, Day seasonality, Weekday autocorrelation

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.

Downloads

Published

2018-12-20

How to Cite

Khanthavit, A. (2018). Day-Seasonal Efficiency of the Stock Exchange of Thailand. Thammasat Review, 21(2), 17–37. Retrieved from https://sc01.tci-thaijo.org/index.php/tureview/article/view/161306

Issue

Vol. 21 No. 2 (2018): July-December

Section

Articles

License

The opinions and ideas expressed in all submissions published in Thammasat Review are solely that of the author(s) and do not necessarily reflect that of the editors or the editorial board. 

The copyright of all articles including all written content and illustrations belong to Thammasat Review. Any individuals or organisation wishing to publish, reproduce and distribute a particular manuscript must seek permission from the journal first.