Return distributions and the day-of-the-week effects in the stock exchange of Thailand

The Presence of the day-of-the week effect has been documented in equity markets throughout the world. Most of the studies reporting this pervasive pattern have relied on the OLS methodology. More recently, using more robust methodology, some inconclusive results have been report regarding the said anomaly. This study examines the day-of-the-week effect in the Securities Exchange of Thailand using OLS as well as GARCH models. We examine the aggregate stock index, SET, as well as its ten industry-classified indices over a 15-year period starting in 1980. Our investigation finds persisting day-of-the-week effects irrespective of the methodology employed. The findings are in direct contrast with earlier suggestions that the day-of-the-week anomalies are exaggerated by rraditional treatments to the data.