Day-of-the-Week Effects in Thailand’s Corporate-Bond Market
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Abstract
This study tests for day-of-the-week effects in Thailand’s corporate-bond market, using the Thai Bond Market Association’s corporate-bond, zero-rate-return indexes of fixed durations and ratings. It is the first study for the market. More importantly, it is able to resolve changing-characteristics problems of bond returns in previous studies. During the sample period from Friday, June 15, 2007 to Friday, March 18, 2016 (2,142 observations), all the sample bonds show high, positive Friday returns; but the day-ofthe-week effects are only significant for some bonds. I empirically test for alternative explanations and successfully identify the one explanation that accounts for the significant effects. I also empirically show that if researchers had not treated the changing characteristics of bond returns appropriately, they could have concluded incorrectly that effects did not exist in Thailand’s corporate-bond market.
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