Holiday Effect in Stock Exchange of Thailand from January 1992 - August 2013
Keywords:
Stock Exchange; Holiday Effect; Type of InvestorsAbstract
This study examines the holiday effect in the Stock Exchange of Thailand (SET) which includes both long and short holidays on different market timing. Moreover, we also observe the pattern of trading behavior of different types of investors by focusing on average net trading volume per day. An experiment is conducted using the daily SET index data from January 1, 1992 to August 31, 2013. There are totally 5,026 normal trading days with 283 pre-holidays. Both event study and regression-based approach are employed. The research found that the pre-holiday effect exists on SET and they are observable larger during the long holiday than the short holiday. We also found that during the pre-holiday, proprietary and foreign investors are the main sellers of the stock.
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