The Asian crisis and calendar effects on stock returns in Thailand


This paper reports work in progress. It systematically examines daily returns of the Thai Stock Market Index to determine whether there is evidence of calendar effects due to the day of the week, the month of the year, days before or after holidays and within-month effects. Particular attention is given to the evidence of these 'anomalies' prior to, during… (More)
DOI: 10.1016/j.ejor.2004.01.015


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