This paper aims to examine the existence of calendar anomalies including month-of-year effect, turn-of-month effect, and weekend effect in Thai stock market. The stock return is computed from SET index during 1988 to 2009, and the SET50 index gathered since it was created in 1995. The unit root...

The purpose of this paper is to examine the holiday effect in Thailand. The holiday effect is the phenomenon in which the stock returns are abnormally high before holidays. There is no complete explanation for this phenomenon though there are many studies that state that the holiday effect has...

The real estate investment has been an alternative investment as a diversifier for traditional investment like stock. Previous studies have shown the diversification benefits of real estate investment for stock portfolio. This paper aims to examine whether the real estate funds can provide...

This paper examines the performance of industry rotation using momentum strategy evidenced from the Stock Exchange of Thailand. The data is based on the industry total return index during 141-month period starting from January 2004 to September 2015. The most successful strategy is the strategy...

Many studies were trying to explain the changes of stock returns by finding the factors impact on a certain market, industry, or stock. Focusing on the financial institution especially commercial bank, there are some research proved that interest rate is one of the crucial factor impact the...