ผลกระทบของลักษณะวันเวลาในหนึ่งสัปดาห์ที่มีผลต่อมูลค่าการซื้อขายของกลุ่มหุ้นธุรกิจการเงินในประเทศไทย

Abstract

This paper studies the effect of the days of the week on the trading value of financial stocks in Thailand. We use the daily data of nine securities such as SCB : THE SIAM COMMERCIAL BANK PUBLIC COMPANY LIMITED, KTB : KRUNG THAI BANK PUBLIC COMPANY LIMITED, KBANK : KASIKORNBANK PUBLIC COMPANY LIMITED, AEONTS : AEON THANA SINSAP (THAILAND) PUBLIC COMPANY LIMITED, KTC : KRUNGTHAI CARD PUBLIC COMPANY LIMITED, ASK : ASIA SERMKIJ LEASING PUBLIC COMPANY LIMITED, THRE : THAI REINSURANCE PUBLIC COMPANY LIMITED, TVI : THAIVIVAT INSURANCE PUBLIC COMPANY LIMITED and BLA: BANGKOK LIFE ASSURANCE PUBLIC COMPANY LIMITED over a period of five years, from July 17th 2010 to July 17th 2015. The analysis of the data in this report uses the ARCH – GARCH model to estimate the regression coefficients. The results show that the highest return is on Friday and lowest is on Thursday. The most fluctuating return is on Tuesday. The lowest fluctuation is on Friday. This research is the same as Fama (1970) that Friday is the day that investors expect to get the highest return because they have been watching the trends of the economic news and politics all week long.