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.

中文翻译：

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检查日历异常：来自泰国股市的证据

目的

该研究检查了泰国证券交易所中日历异常的存在，包括星期几（DOW）效应和一月效应。

设计/方法/方法

该研究使用 2014 年 3 月至 2019 年 3 月的每日股票收益，进行回归分析，分别检验股票收益的可预测模式、道琼斯效应和 1 月效应。

发现

有强有力的证据表明泰国股市存在持续的月度模式和工作日季节性。具体来说，周一回报为负数且显着低于一周中其他交易日的回报率，而一月回报为正数且显着高于一年中其他月份的回报率。

实际影响

研究结果为寻求交易策略的投资者提供了管理意义，以最大限度地实现投资目标的可能性，并为政策制定者提供有关泰国股市当前状况的信息。

原创性/价值

首先，该研究调查了泰国股市的日历异常，特别是 DOW 效应和一月效应，这在文献中受到的关注相对较少。其次，这是第一项使用一系列综合指数检查不同公司集团和股票交易特征的泰国股市日历异常情况的研究。此外，该研究使用了 2014-2019 年期间的数据，这些数据应提供有关泰国股票回报模式的最新信息。