การศึกษาและทดสอบการเคลื่อนไหวที่ผิดปกติของผลตอบแทนและอัตราการหมุนเวียนรายวันในตลาดหลักทรัพย์แห่งประเทศไทย / รวิวรรณ รัตนะสินชัย = Analysis of daily stock return and turnover ratio autocorrelation anomalies on the Stock Exchange of Thailand (SET) / Raviwan Rattanasinchai
The purpose of this paper is to study the daily stock return autocorrelation anomalies on the Stock Exchange of Thailand by using closing daily price calculated to daily stock return and the buying and selling value of investors comparing with Market Capitalization calculated to Turnover Ratio related to the day of the week which have been occurred on SET Index. The result demonstrates that there are significant anomalies on Monday and Friday. We find that an abnormally lowest equity return on the first trading day of the week (usually Monday) but highest risk and high return on the last trading day of the week (usually Friday) but lowest risk when compare with other days of the week. Moreover, when we consider the buying and selling value of investors compare with market capitalization, we find that an abnormally lowest turnover ratio on the first trading day of the week (usually Monday) and highest return on the middle trading day of the week (usually Wednesday) when compare with other days of the week. Therefore, we conclude that the day of the week which has been occurred on SET Index.
