Relationship Between Week-Four Effect, Bad News, Volume, and Day-of-The-Week Effect in The Stock Exchange of Thailand
Keywords:
Day-of-The-Week Effect, Monday Effect, Week-Four Effect, Bad News, Volume, The Stock Exchange of ThailandAbstract
This study examines the relationship between the week-four effect, bad news, volume, and day-of-the-week effect in the Stock Exchange of Thailand during the period of January 1, 2010 to December 31, 2019. The results show that the averaged Monday return is the lowest and significantly negative, while the averaged Friday return is the highest and significantly positive.
The authors tested possible explanations for this day-of-the-week effect by showing that the negative returns on Mondays are significantly concentrated in the last two weeks of the month (the fourth and fifth weeks of the month), while the positive returns on Mondays are significantly concentrated in the third week of the month. Moreover, the results find the lowest Monday averaged returns are confined to periods of negative market returns or bad news environments. Furthermore, the results show the lowest volume is found on Monday while the highest volume is found on Thursday.
The results of this study find that the week-four effect, bad news, and volume have a significantly relationship with day-of-the-week effect in The Stock Exchange of Thailand.
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