Investment Management and Financial Innovations
Volume 13, 2016 Issue #4 pp. 8-16 Views: 1128 Downloads: 303 TO CITE
This paper aimed to study the interaction and profitability of the five most well-established calendar effects: Halloween effect, January effect, turn-of-the-month effect, weekend effect, and Thai holiday effect. The author found that turn-of-the-month effect (TOM) and weekend effect were the strongest and most profitable effects in Thai stock markets. The equity premium over the sample during 2000–2015 was 4.40 per cent if there was TOM effect or weekend effect, and -2.13 per cent in other cases. This study narrowed down the number of calendar effects from five to two, leading to more effective and less complex summary of different seasonal effects.
