Market Efficiency of the Stock Exchange of Thailand

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University of the Thai Chamber of Commerce. Journal Editorial Office
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Chulalongkorn University Printing House
University of the Thai Chamber of Commerce
Date Issued
2013
ISSN
0125-2437
Resource Type
Text::Journal::Journal article
Abstract
The study of market efficiency of the Stock Exchange of Thailand used daily closing prices of 17 listed companies in the property development sector in SET100. This study covered the period from January 4, 2010 to December 30, 2010. Dummy variables each representing Tuesday, Wednesday, Thursday, Friday, and Tuesday after Monday holidays were employed as independent variables. Daily closing prices were utilized as dependent variables. According to the statistically significant level of 5%, none of the closing prices of all 17 listed companies are affected by independent variables, meaning that closing prices in the past have no impact on closing prices in the future, or closing prices in the past and closing prices in the future are unrelated. Hence, the Stock Exchange of Thailand is a weak-form of efficient market. Further studies should examine the semi-strong and strong-form of eff icient market of the Stock Exchange of Thailand.
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Journal
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public
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University of the Thai Chamber of Commerce
Bibliographic Citation
Wanrapee Banchuenvijit, Sunisa Choochuen (2013) Market Efficiency of the Stock Exchange of Thailand. University of the Thai Chamber of Commerce Journal Vol.33 No.1.
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