Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand
Journal of Finance and Accounting
Volume 6, Issue 1, January 2018, Pages: 35-41
Received: Apr. 26, 2018; Published: Apr. 27, 2018
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Authors
Pichit Boonkrong, Department of Mathematics, College of Information and Communication Technology, Rangsit University, Pathum Thani, Thailand
Nithipa Arjrith, Department of Mathematics, College of Information and Communication Technology, Rangsit University, Pathum Thani, Thailand
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Abstract
This research aims to study the effect of the days in week on the return of the stock price index, particularly in the Stock Exchange of Thailand (SET). The daily closing prices of SET50 index from June 2, 2003 to June 2, 2017 are taken into account, i.e., there are totally 3,425 days. The stock returns of the 50 companies are calculated according to the daily historical stock prices of companies. Both descriptive and inferential statistics are employed in data analysis including average, standard deviation, multiple comparisons and multiple regression analysis. Applying ordinary least square method, the linear equation with five dummy variables is formulated for multiple regression analysis. The results show that the means of daily return rate of SET50 index are significantly different. Monday has a negative influence on the return rate of SET50 index whereas Friday has a positive influence at the significance level of 0.05. The return rate of SET50 index on Monday is lowest whilst Friday is highest during the week.
Keywords
Least Square Method, Market Anomalies, Multiple Regression, SET50 Index, Stock Price Index
To cite this article
Pichit Boonkrong, Nithipa Arjrith, Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand, Journal of Finance and Accounting. Vol. 6, No. 1, 2018, pp. 35-41. doi: 10.11648/j.jfa.20180601.15
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