SEASONALITY IN STOCK RETURNS: AN EMPIRICAL STUDY OF THAILAND

This study empirically examined various statistical characteristics of the equity market in Thailand with special emphasis on examining seasonality in stock returns. It utilizes monthly time series data on the SET stock price index from 1975 to 1998. The result indicate that stock returns were higher, on average, in January compared to other months of the year, and that the returns were found to deviate from the normal distribution. The regression results and the Chow test support the hypotheses of (1) seasonality in stock returns, especially since the post-1984 period when the Thai equity market was opened up for foreign investment, and (2) the 'tax-loss selling'. The market appears to be not random, and given the presence of seasonality, the investors may improve their returns by "timing" the market.