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
Views 946 Downloads 84
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
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.
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.
Agathree, U. S. Day of the Week Effects: Evidence from the Stock Exchange of Mauritius (SEM), International Research Journal of Finance and Economics, 2008, 17, pp. 7–14.
Aly, H., Mehdian, S. and Perry, M., An Analysis of Day-of-the-Week Effects in the Egyptian Stock Market, International Journal of Business, 2004, 9 (3), pp. 301–308.
Bollerslev, T., Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 1986, 31, pp. 307–327.
Cengiz, H., Bilen, Ö., Büyüklü, A. H. et al., Journal of Global Entrepreneurship Research, 2017, 7:4. DOI 10.1186/s40497-017-0062-6.
Gibbons, M. and P. Hess., Day of the Week Effects and Asset Returns, Journal of Business, 1981, 54, pp. 579–596.
Gujarati, D. and Porter, D., Basic Econometrics. Singapore: McGraw-Hill Companies. Inc., 2009.
Haroon, M. and Shah, N., Investigating Day-of-the-Week Effect in Stock Returns: Evidence from Karachi Stock Exchange Pakistan, Pakistan Journal of Commerce and Social Science, 2013, 7 (2), pp. 381–393.
Liu, B. and Li, B., Day-of-the-Week Effects: Another Evidence from Top 50 Australian Stocks, European Journal of Economics, Finance and Administrative Sciences, 2010, 24, pp. 78–87.
Marrett, G. and Worthington, A., The Day-of-the-Week Effect in the Australian Stock Market: An Empirical Note on the Market, Industry and Small Cap Effects, International Journal of Business and Management January, 2008, pp. 3–8.
Zhang J., Lai YZ. and Lin JH. The Day-of-the-Week Effects of Stock Markets in Different Countries, Finance Research Letters, 2017, 20, pp. 47-62.
The Stock Exchange of Thailand (2017), SET Index Series, Retrieved from https://www.set.or.th/th/products/index/setindex_p3.html.