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THE INFLUENCE OF DAYS MONTH AND TIME IN THE MONTH TO RETURN OF
MAJOR INDEXS IN THE STOCKS EXCHANGE OF THAILAND
By
Sawittree Saikhueankhan
A Research Submitted in Partial Fulfillment of the Requirements for the Degree
Bachelor of Arts Program in General Business Management
Faculty of Management Science
SILPAKORN UNIVERSITY
2010
“
”
“
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“ 4”
16 2554
………………………………………………..
()
……..………………... …………
……………………………………………
(.)
……. ………………. .. ............
12500122 :
: / /
:
(THE INFLUENCE OF
DAYS MONTH AND TIME IN THE MONTH TO RETURN OF MAJOR INDEXS IN THE
STOCKS EXCHANGE OF THAILAND) : . . 26 .
SET, SET50 SET100
4 2548 30 2553 1,341
15 15 10
10 10
______________________________________________________________________________
2553
…………………………....
…………………………………..
12500122: MAJOR: GENERAL BUSINESS MANAGEMENT
KEY WORD: RATE OF RETURN, MAJOR INDEXES, INFLUENCE OF TIME
SAWITTREE SAIKHUEANKHAN: THE INFLUENCE OF DAYS MONTH AND
TIME IN THE MONTH TO RETURN OF MAJOR INDEXS IN THE STOCKS EXCHANGE
OF THAILAND. RESEARCH ADVISOR: ASST. PROF. NOPPANON HOMSUD, M.Sc. 26 pp.
Abstract
The objective of this research is to test influence of days, months, and time in the month
to return rate of major indexes in The Stock Exchange of Thailand, consisted of SET, SET50, and
SET100. The usage data in this research are 1,341 daily rate of return of 3 indexes. It is found that
Friday and October have influenced to the rate of return of 3 major indexes in the The Stock
Exchange of Thailand. While, 15 first days and 15 last days, and 10 first days, next 10 days and
10 last days have not influenced to the rate of return of 3 major indexes in the The Stock
Exchange of Thailand.
Faculty of Management Science SILPAKORN UNIVERSITY Academic Year 2010
Student’s signature ……………………………….
Research Advisor’s signature …………………………….
กิตติกรรมประกาศ
สารบัญ
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1 ................................................................................................................. 1
............................................... 1
.................................................................. 2
......................................................................... 2
................................................................. 3
2 ......................................................................... 4
...................................................... 4
......................................................... 14
............................................................................... 14
3 ............................................................................................... 16
.................................................................. 16
........................................................................................ 16
........................................................................ 17
.............................................................................. 17
4 ...................................................................................... 20
............................................................................... 20
........................................................................... 21
15 ........................................................... 22
10 ........................................................... 22
5 .................................................................. 23
.................................................................................. 23
...................................................................................... 23
................................................................................................................. 24
.................................................................................................................. .. 26
1
1
Fama (1970)
(Agathee 2008)
Cross (1973), French (1980), Gibbons and
Hess (1981) Keim and Stambaugh (1984)
Jaffe and
Westerfield (1985)
Brook and Persand (2001)
5
Holden, Thompson, and
Ruangrit (2005) 1,473
(2552)
2
Barone (1980), Satamases (1986), Board and Sutcliffe (1988), Solnik and
Bousquet (1990), Agrawal and Tandon (1994), Balaban (1995), Choudhary (2000), Tong (2000),
Sar (2003)
“
”
3
1. SET
2. SET50 50
3. SET100 100
Thompson Reuters
3
4 2548 30 2553 1,341
1.
2.
4
2
“
”
1.
2.
3.
(-
..2517
(...) 30 ..
2518
..
2535 2
10.00 . - 12.30 . 14.30 . - 16.30 .
5
1
2
3
4
6
5
6
1
1.
1.
7
1.
1.
1.
2
3
8
4
(Margin)
"" (Fundamental Analysis)
"" (Technical Analysis)
()
( 30 .. 2518
100 )
= x 100
1.
(Preferred Share) (Warrant)
2.
(Value Weighted) ()
()
9
3.
SET 50 Index
()
SET 50 Index 50
1. 50
12
2.
50%
9 12
3. 12
50
50
SET 50 50
55
. 5%
SET 50 Index
(SET Index)
10
50
SET 50 Index 16 .. 2538 100
SET 50 Index 1 – 31 1 - 30
SET Index
4
1
30
.. 2518 100
2
31
.. 2546 100
8
2.1
2.2
11
2.3
2.4
2.5
2.6
2.7
2.8
3 SET50 17 .. 2539
(Futures) (Option)
SET50
50 1 50
16 .. 2538
6
SET100
3 2548 100
SET50 1,000 30
2548 6
Index
SET Index SET50 Index SET100 Index
Index
12
Index
SET100
(2553) (Multiple
Regression Analysis)
1 1
(Gross Domestic Product : GDP)
(Multiple Regression Model)
Y X1, X2,
X3,…, Xk k
Y = β0 + β1X 1+ β2X2 + …+ βkX k+ ε
βj (j = 0, 1, 2, …, k)
β0 (Y) Xi = 0 (i = 1, 2, 3, …, k)
βi Y (i = 1, 2, 3, …, k)
Xi 1 Xh h ≠ i
(Partial Regression Coefficient)
ε (Random Error)
ε
k
13
1.
2.
3.
Multicollinearity
(2542)
3.1
(Stepwise Multiple Regression)
3.2
3.3
3.4
3.5
3.6
3.7 (Factor Analysis)
4.
5.
14
6.
7.
8.
)(
1−
=
t
t
t
P
P
LNR
Agathee (2008)
2006
1998 – 2006
5 0
Brooks and Persand (2001)
5
15
3
(2552)
37
5 2547 30
2551 1,225
16
3
“
”
4
3
1. SET
2. SET50 50
3. SET100 100
(Secondary Data)
17
Thompson Reuters 4
2548 30 2553 1,341
1.
)(
1−
=
t
t
t
P
P
LNR
t
R
=
t
t
P =
t
1−t
P
=
1−t
2.
2.1
554433221
DDDDR
t
βββββ
++++=
t
R
=
t
1
β
=
2
β
=
3
β
=
4
β
=
5
β
=
2
D
=
3
D
=
4
D
=
5
D
=
18
0 F-Statistics
2.2
1212111110109988
77
66
55
4433221
DDDDDDDDDDD
t
R
ββββββββββββ
+++++++++++=
t
R
=
t
1
β
=
2
β
=
3
β
=
4
β
=
5
β
=
6
β
=
7
β
=
8
β
=
9
β
=
10
β
=
11
β
=
12
β
=
2
D
=
3
D
=
4
D
=
5
D
=
6
D
=
7
D
=
8
D
=
9
D
=
10
D
=
19
11
D
=
12
D
=
0 F-Statistics
2.3 15 15
221 DRt
ββ
+=
t
R
=
t
1
β
= 15
2
β
= 15
2
D
= 15
0 F-Statistics
2.4 10 10
10
33221 DD
t
R
βββ
++=
t
R
=
t
1
β
= 10
2
β
= 10
3
β
= 10
2
D
= 10
3
D
= 10
0 F-Statistics
20
4
“
”
1.
1
SET SET50 SET100
1
β
-0.123 -0.122 -0.108
2
β
-0.067
-0.083
-0.087
3
β
-0.047 0.040 0.047
4
β
-0.034 -0.036 -0.038
5
β
0.225* 0.240* 0.241*
F-Statistics 1.684 1.465 1.343
*Sig. < 0.05, **Sig. < 0.01, ***Sig. < 0.001
1
3
SET, SET50 SET100
0.05
21
2.
2
SET SET50 SET100
1
β
-0.096 -0.125 -0.165
2
β
0.137 0.148 0.111
3
β
-0.038 -0.065 0.021
4
β
0.158 0.175 0.248
5
β
0.090 0.087 0.080
6
β
0.048 0.048 0.049
7
β
0.036
0.047
0.041
8
β
0.031 0.045 0.044
9
β
0.022 0.016 0.019
10
β
-0.321* -0.337* -0.344*
11
β
-0.093 -0.101 -0.107
12
β
0.181 0.205 0.203
F-Statistics 0.806 0.747 0.787
*Sig. < 0.05, **Sig. < 0.01, ***Sig. < 0.001
2
3
SET, SET50 SET100
0.05
22
3. 15
3 15 15
SET SET50 SET100
1
β
0.056 0.058 0.054
2
β
0.000 0.000 0.011
F-Statistics 0.406 0.331 0.284
*Sig. < 0.05, **Sig. < 0.01, ***Sig. < 0.001
3
3 15 15
15 15
SET, SET50 SET100 0.05
4. 10
4 10 10 10
SET
SET50
SET100
1
β
0.063 0.069 0.062
2
β
-0.045 -0.061 -0.063
3
β
0.016 0.019 0.038
F-Statistics 0.395 0.431 0.420
*Sig. < 0.05, **Sig. < 0.01, ***Sig. < 0.001
3 10 10 10
10 10 10
SET, SET50 SET100
0.05
23
บทที่ 5
สรุป อภิปรายผล และข้อเสนอแนะ
“
”
สรุปและอภิปรายผล
SET, SET50 SET100
0.05
0.05 2
15 15 3 10 10
10
ข้อเสนอแนะ
1 2 3
24
บรรณานุกรม
. “
.”
, 2552.
. Business Statistics. : , 2553.
. “
.”
,
2551.
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26
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