Financial Liberalization, the Weekend Effect, and Common Stock Returns in the Thai Stock Market
The purpose of this study is to undertake an empirical analysis of the pattern of the daily equity returns and the day-of-the-week effect on 29 individual stocks in the financial sector of the Thai stock market over the period following the government's attempts to establish Bangkok as an int...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | en English |
| Published: |
Universiti Putra Malaysia Press
1993
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/2949/1/Financial_Liberalization%2C_the_Weekend_Effect%2C_and_Common_Stock.pdf http://psasir.upm.edu.my/id/eprint/2949/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832510214182535168 |
|---|---|
| author | Chotigeat, T. Lee, S. M. |
| author_facet | Chotigeat, T. Lee, S. M. |
| author_sort | Chotigeat, T. |
| building | UPM Library |
| collection | Institutional Repository |
| content_provider | Universiti Putra Malaysia |
| content_source | UPM Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | The purpose of this study is to undertake an empirical analysis of the pattern of the daily equity returns and
the day-of-the-week effect on 29 individual stocks in the financial sector of the Thai stock market over the
period following the government's attempts to establish Bangkok as an international financial centre the
trading time model is used to test the weekend effect, and the study confirms the test results with the nonparametric
technique. The results indicate that for a portfolio of 29 stocks, as well as for most individual
stocks, Monday and Tuesday returns are positive and returns for the other three days are negative. The
Monday average return is the highest, while Friday has the highest volatility of return; (coefficient of
variation) is higher than for Monday's returns. The test finds no evidence of the weekend effect, conforming
to the pattern found in the South Korean stock market once financial liberalization got underway, and is
contrary to the results from oUler small and developing Asian stock markets, such as those in Hong Kong,
Singapore, Malaysia, and the Philippines. In essence, me results of this study show no evidence to support the
inherent inefficiency of the Thai stock market as has been proposed in previous studies. |
| format | Article |
| id | my.upm.eprints-2949 |
| institution | Universiti Putra Malaysia |
| language | en English |
| publishDate | 1993 |
| publisher | Universiti Putra Malaysia Press |
| record_format | eprints |
| spelling | my.upm.eprints-29492013-05-27T07:04:39Z http://psasir.upm.edu.my/id/eprint/2949/ Financial Liberalization, the Weekend Effect, and Common Stock Returns in the Thai Stock Market Chotigeat, T. Lee, S. M. The purpose of this study is to undertake an empirical analysis of the pattern of the daily equity returns and the day-of-the-week effect on 29 individual stocks in the financial sector of the Thai stock market over the period following the government's attempts to establish Bangkok as an international financial centre the trading time model is used to test the weekend effect, and the study confirms the test results with the nonparametric technique. The results indicate that for a portfolio of 29 stocks, as well as for most individual stocks, Monday and Tuesday returns are positive and returns for the other three days are negative. The Monday average return is the highest, while Friday has the highest volatility of return; (coefficient of variation) is higher than for Monday's returns. The test finds no evidence of the weekend effect, conforming to the pattern found in the South Korean stock market once financial liberalization got underway, and is contrary to the results from oUler small and developing Asian stock markets, such as those in Hong Kong, Singapore, Malaysia, and the Philippines. In essence, me results of this study show no evidence to support the inherent inefficiency of the Thai stock market as has been proposed in previous studies. Universiti Putra Malaysia Press 1993 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/2949/1/Financial_Liberalization%2C_the_Weekend_Effect%2C_and_Common_Stock.pdf Chotigeat, T. and Lee, S. M. (1993) Financial Liberalization, the Weekend Effect, and Common Stock Returns in the Thai Stock Market. Pertanika Journal of Social Sciences & Humanities, 1 (2). pp. 143-151. ISSN 0128-7702 English |
| spellingShingle | Chotigeat, T. Lee, S. M. Financial Liberalization, the Weekend Effect, and Common Stock Returns in the Thai Stock Market |
| title | Financial Liberalization, the Weekend Effect, and Common Stock
Returns in the Thai Stock Market |
| title_full | Financial Liberalization, the Weekend Effect, and Common Stock
Returns in the Thai Stock Market |
| title_fullStr | Financial Liberalization, the Weekend Effect, and Common Stock
Returns in the Thai Stock Market |
| title_full_unstemmed | Financial Liberalization, the Weekend Effect, and Common Stock
Returns in the Thai Stock Market |
| title_short | Financial Liberalization, the Weekend Effect, and Common Stock
Returns in the Thai Stock Market |
| title_sort | financial liberalization, the weekend effect, and common stock
returns in the thai stock market |
| url | http://psasir.upm.edu.my/id/eprint/2949/1/Financial_Liberalization%2C_the_Weekend_Effect%2C_and_Common_Stock.pdf http://psasir.upm.edu.my/id/eprint/2949/ |
| url_provider | http://psasir.upm.edu.my/ |