SEASONALITY IN STOCK RETURNS: AN EMPIRICAL STUDY OF THAILAND
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This study empirically examined various statistical characteristics ofthe equity market in Thailand with special emphasis on examining seasonality in stock returns.. It utilizes monthly time serie~ data on the SET stock price index from 1975 to 1998. The result indicate that stock returns were higher, on average, in January compared ro other month.<; of the year, and that the returns were found to deviate from the normal distribution. The regression results and the Chow test support the hypotheses of (1) seasonality in stock returns, especially since the po t-1984 period when the Thai equity market was opened up for foreign investment, and (2) the ax-loss selling. The market appears to be not random, and given the presence of seasonality, the investors may improve their returns by "timing" the market.
Abstract
This study empirically examined various statistical characteristics ofthe equity market in Thailand with special emphasis on examining seasonality in stock returns.. It utilizes monthly time serie~ data on the SET stock price index from 1975 to 1998. The result indicate that stock returns were higher, on average, in January compared ro other month.<; of the year, and that the returns were found to deviate from the normal distribution. The regression results and the Chow test support the hypotheses of (1) seasonality in stock returns, especially since the po t-1984 period when the Thai equity market was opened up for foreign investment, and (2) the ax-loss selling. The market appears to be not random, and given the presence of seasonality, the investors may improve their returns by "timing" the market.