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

Pichit Boonkrong; Nithipa Arjrith

doi:doi:10.11648/j.jfa.20180601.15

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

Pichit Boonkrong, Nithipa Arjrith

Published in Journal of Finance and Accounting (Volume 6, Issue 1)

Received: 26 April 2018 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.

Published in	Journal of Finance and Accounting (Volume 6, Issue 1)
DOI	10.11648/j.jfa.20180601.15
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), 2018. 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.

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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://article.sciencepublishinggroup.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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TY  - JOUR
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
Y1  - 2018/04/27
PY  - 2018
N1  - https://doi.org/10.11648/j.jfa.20180601.15
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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Author Information

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

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Plain Text BibTeX RIS

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://article.sciencepublishinggroup.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}
}

Copy | Download

TY  - JOUR
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
Y1  - 2018/04/27
PY  - 2018
N1  - https://doi.org/10.11648/j.jfa.20180601.15
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  -

Copy | Download