Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand

Boonkrong, Pichit; Arjrith, Nithipa

doi:10.11648/j.jfa.20180601.15

Cited by 2 publications

(1 citation statement)

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“…Market anomalies are observed in all markets except for Singapore. Boonkrong and Arjrith (2018) find the day‐of‐the‐week effect in Thailand with Monday as the least profitable day and Friday as the most profitable day. Abbas and Javid (2015) investigate the day‐of‐the‐week effect and volume in SAARC.…”

Section: Literature Reviewmentioning

confidence: 99%

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

et al. 2021

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In the second half of the 20th century, it was observed that weekday‐of‐Monday generate significantly lower returns than other days of the week. Literature has shown that the day effect exists on weekdays of the week, which is different from this day Monday. This study investigates day‐of‐the‐week effect in returns and volume of stock in emerging Asian markets by using ordinary least square regression (OLS), generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) and Kruskal‐Wallis test. The data are obtained from Thomson Reuters from July 2013 to March 2019 for the market indices and volume. The OLS and GARCH (1, 1) are employed through Eviews, while Kruskal‐Wallis test is used through SPSS. The results show a significant day‐of‐the‐week effect in returns in China, South Korea, Taiwan, Thailand, Indonesia and Pakistan. On the other hand, no significant day‐of‐the‐week effect in returns is revealed in India and Malaysia. Furthermore, significant differences in traded volume on different days are also observed in all markets except for Malaysia, where Monday is the least traded day in most markets. No evidence for co‐occurrence of day‐of‐the‐week effect in returns and volume is observed. The findings affirm inconsistency in the day‐of‐the‐week effect.

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Section: Literature Reviewmentioning

confidence: 99%

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

et al. 2021

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Testing event-based day of the week anomaly and trading opportunities: Evidence from Indian sectoral indices

Bhatia,

Sharma,

Aggarwal

et al. 2024

Investment Management and Financial Innovations

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The study is an attempt to examine the day-of-the-week anomaly of fourteen Indian sectoral indices and identify profitable opportunities, considering multiple positive and negative events. The aim of this study is to analyze the day-of-the-week effect on fourteen Indian sectoral indices and find profitable opportunities while considering multiple events that have positive and negative impacts. The study takes into consideration event-based anomalies, both national and global, and provides timing for trading to generate abnormal returns from the market. At first, dummy variable regression analysis was used to understand the initial anomalies. Later, time-varying symmetrical and asymmetrical volatility models, such as Generalized Autoregressive Conditional Heteroscedasticity (1, 1) and Exponential Generalized Autoregressive Conditional Heteroscedasticity (1, 1) were applied to determine the short-term and long-term volatility persistence. These models capture the leverage effect from various events that occurred during the study. The results showed mixed outcomes during multiple positive and negative shocks. After the recession, anomalies were observed across all sectoral indices, except for commodities, energy, and information technology. During the scam period, anomalies occurred in all sectors, except for consumer durables, financial services, and information technology. However, after the new government took over, anomalies persisted in all sectors. During the pandemic, anomalies persisted in all sectors except for finance, IT, pharmaceuticals, and services. Hence, national and global events have shown varied impacts on the Indian markets. The study provides investors with implications on strategies and timing techniques for planning their investments in different sectors of the Indian economy.

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Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand

Cited by 2 publications

References 4 publications

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Testing event-based day of the week anomaly and trading opportunities: Evidence from Indian sectoral indices

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Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand

Cited by 2 publications

References 4 publications

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†

Testing event-based day of the week anomaly and trading opportunities: Evidence from Indian sectoral indices

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Product

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Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†