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Publication
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| Research Title |
The holiday effect in the Stock Exchange of Thailand |
| Date of Distribution |
6 July 2017 |
| Conference |
| Title of the Conference |
SIBR 2017 (Osaka) Conference on Interdisciplinary Business and Economics Research, 6th - 7th July 2017, |
| Organiser |
Society of Interdisciplinary Business Research |
| Conference Place |
Ark hotel 1-19-18 Shimanouchi Chuo-Ku Osaka 542-0082 Japan, Chuo, Osaka, Japan |
| Province/State |
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| Conference Date |
6 July 2017 |
| To |
7 July 2017 |
| Proceeding Paper |
| Volume |
6 |
| Issue |
4 |
| Page |
s17-185 |
| Editors/edition/publisher |
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| Abstract |
This paper aimed to examine the existence of holiday effect in the Stock Exchange of Thailand (SET). The holiday effect is phenomenon which could be found high return around the holiday. It's provided the new insight the weak-form efficiency in the market. Although we have many studies about the holiday effect, only few papers study in SET. Moreover, the GARCH model is rarely used in those studies. The SET index were collected by five day daily data from the 1st January 1992 until 31st December 2016. The size of the data was 6,521 days. As well as the holiday data were collected from 1992 to 2016. The holidays announced by Bank of Thailand during the period were 398 days along 25 years. This paper tested the holiday effect by using GARCH(1,1) model and EGARCH(1,1) model which considered become appropriate for time series data. The result showed statistically significant positive higher return rate in both pre-holiday and post-holiday. Indeed, we found the abnormal positive return in pre-holiday much more than post-holiday at the significant level of 1%. Finally, we test the fit to data of two model by using AIC and SIC, the result appeared that EGARCH(1,1) is more appropriate than GARCH(1,1). |
| Author |
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| Peer Review Status |
มีผู้ประเมินอิสระ |
| Level of Conference |
นานาชาติ |
| Type of Proceeding |
Full paper |
| Type of Presentation |
Oral |
| Part of thesis |
true |
| Presentation awarding |
false |
| Attach file |
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| Citation |
0
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Journal Publication
ไทย