An examination of calendar anomalies: evidence from the Thai stock market
ISSN: 0144-3585
Article publication date: 17 March 2021
Issue publication date: 29 March 2022
Abstract
Purpose
The study examines the existence of calendar anomalies, including the day-of-the-week (DOW) effect and the January effect, in the Stock Exchange of Thailand.
Design/methodology/approach
Using daily stock returns from March 2014 to March 2019, the study performs regression analysis to examine predictable patterns in stock returns, the DOW effect and the January effect, respectively.
Findings
There is strong evidence of a persistent monthly pattern and weekday seasonality in the Thai stock market. Specifically, Monday returns are negative and significantly lower than the returns on other trading days of the week, and January returns are positive and significantly higher than the returns on other months of the year.
Practical implications
The findings offer managerial implications for investors seeking trading strategies to maximize the possibility of reaching investment goals and inform policymakers regarding the current state of the Thai stock market.
Originality/value
First, the study investigates calendar anomalies in the Thai stock market, specifically the DOW effect and the January effect, which have received relatively little attention in the literature. Second, this is the first study to examine calendar anomalies in the Thai stock market across different groups of companies and stock trading characteristics using a range of composite indexes. Furthermore, the study uses data during the period 2014–2019, which should provide up-to-date information on the patterns of stock returns in Thailand.
Keywords
Acknowledgements
I would like to thank you the anonymous reviewers and Editor at the Journal of Economic Studies for their valuable input and helpful guidance.
Citation
Wuthisatian, R. (2022), "An examination of calendar anomalies: evidence from the Thai stock market", Journal of Economic Studies, Vol. 49 No. 3, pp. 422-434. https://doi.org/10.1108/JES-06-2020-0298
Publisher
:Emerald Publishing Limited
Copyright © 2021, Emerald Publishing Limited