Analysis of Calendar Effects : Day - of - the - Week Effect on the Stock Exchange of Thailand ( SET )

According to the Efficient Market Hypothesis (EMH), a stock’s return is indifferent to a given trading day. But the day of the week effect phenomenon produces a different return for each day in the week. This is an abnormal return which can affect investors in deciding an investment strategy and portfolio management. This study examines the day of the week effect on stock market returns and the volatility of the Stock Exchange of Thailand (SET) index in order to know whether this anomaly exists or not. An experiment was conducted by using the daily SET Index data of 1,040 days from 4 January 2005 to 31 March 2009. The data on each day of the week was tested by applying the same prediction function. The prediction function incorporates important economic factors such as the Dow Jones index, the Nikkei index, the Hang Seng index and the domestic Minimum Loan Rate (MLR). The tuning coefficients of each factor in this research were calculated by using the two-membered Evolution Strategies (ES) technique. The results provide empirical evidence that day-of-the-week has a significant effect on the SET index with the highest percent of prediction error on Monday and the lowest percent of prediction error on Friday.