Seasonality in the Thai Stock Index

Seasonality in the Thai Stock Index

Global Economy and Finance Journal

Vol. 8. No. 1. , March 2015, Pages: 112 – 120

Seasonality in the Thai Stock Index

H. Swint Friday and Nhieu Bo

The paper examines seasonality in returns for the Stock Exchange of Thailand (SET). We use historical returns on both SET composite and SET50 indices from 1975 through December 2013 to examine seasonality in the two indices. In a previous study, we observed the “Halloween effect” also known by the tagline “Go away in May and come back Halloween Day” in the Vietnam stock index (VN-index) during the 2000-2010 period. In this paper, we find that the “Halloween effect” appears in both the SET composite and SET50 indices but is not statistically significant. However, we find significantly higher returns for December and January for both indices.

Field of Research: Applied Finance and International Finance

Key Words: Thailand, Seasonality and Halloween effect

JEL Codes: G11, G14

DOI : http://dx.doi.org/10.21102/gefj.2015.03.81.08