Journal of Finance and Accounting

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Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand

Received: 26 April 2018    Accepted:     Published: 27 April 2018
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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.

DOI 10.11648/j.jfa.20180601.15
Published in Journal of Finance and Accounting (Volume 6, Issue 1, January 2018)
Page(s) 35-41
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Least Square Method, Market Anomalies, Multiple Regression, SET50 Index, Stock Price Index

References
[1] 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.
[2] 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.
[3] Bollerslev, T., Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 1986, 31, pp. 307–327.
[4] Cengiz, H., Bilen, Ö., Büyüklü, A. H. et al., Journal of Global Entrepreneurship Research, 2017, 7:4. DOI 10.1186/s40497-017-0062-6.
[5] Gibbons, M. and P. Hess., Day of the Week Effects and Asset Returns, Journal of Business, 1981, 54, pp. 579–596.
[6] Gujarati, D. and Porter, D., Basic Econometrics. Singapore: McGraw-Hill Companies. Inc., 2009.
[7] 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.
[8] 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.
[9] 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.
[10] 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.
[11] The Stock Exchange of Thailand (2017), SET Index Series, Retrieved from https://www.set.or.th/th/products/index/setindex_p3.html.
Author Information
  • Department of Mathematics, College of Information and Communication Technology, Rangsit University, Pathum Thani, Thailand

  • Department of Mathematics, College of Information and Communication Technology, Rangsit University, Pathum Thani, Thailand

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  • APA Style

    Pichit Boonkrong, Nithipa Arjrith. (2018). Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand. Journal of Finance and Accounting, 6(1), 35-41. https://doi.org/10.11648/j.jfa.20180601.15

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    ACS Style

    Pichit Boonkrong; Nithipa Arjrith. Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand. J. Finance Account. 2018, 6(1), 35-41. doi: 10.11648/j.jfa.20180601.15

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    AMA Style

    Pichit Boonkrong, Nithipa Arjrith. Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand. J Finance Account. 2018;6(1):35-41. doi: 10.11648/j.jfa.20180601.15

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  • @article{10.11648/j.jfa.20180601.15,
      author = {Pichit Boonkrong and Nithipa Arjrith},
      title = {Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand},
      journal = {Journal of Finance and Accounting},
      volume = {6},
      number = {1},
      pages = {35-41},
      doi = {10.11648/j.jfa.20180601.15},
      url = {https://doi.org/10.11648/j.jfa.20180601.15},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.jfa.20180601.15},
      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.},
     year = {2018}
    }
    

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    T1  - Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand
    AU  - Pichit Boonkrong
    AU  - Nithipa Arjrith
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    DO  - 10.11648/j.jfa.20180601.15
    T2  - Journal of Finance and Accounting
    JF  - Journal of Finance and Accounting
    JO  - Journal of Finance and Accounting
    SP  - 35
    EP  - 41
    PB  - Science Publishing Group
    SN  - 2330-7323
    UR  - https://doi.org/10.11648/j.jfa.20180601.15
    AB  - 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.
    VL  - 6
    IS  - 1
    ER  - 

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