การศึกษา “ช่วงของฤดูกาลที่ให้ผลตอบแทนที่สูงกว่าช่วงของฤดูกาลอื่น” ในตลาดหลักทรัพย์แห่งประเทศไทย

Authors

ผศ.ดร.ณัฐวุฒิ เจนวิทยาโรจน์

Published

วารสารบริหารธุรกิจ นิด้า

Abstract

This study empirically investigates the well-known Sell in May or Halloween Effect,
which states that stock returns are significantly lower during May-October period than during
November-April period, on four main indices of the Stock Exchange of Thailand (SET) from
1975 to 2016. The results show that the three main indices, i.e., SET, SET50, and SET100
indices have higher rate of returns during November-April period than during May-October
period, though only the SET50 index has a statistically significant higher rate of returns.
Specifically, the SET50 index’s average monthly return is significantly higher during NovemberApril than during May-October by 2.18% or nearly 26.1% per year. Furthermore, the result
shows that SET50 index return is even less risky (as measured by its standard deviation) during
November-April than during May-October. Therefore, the results of this study support the Sell
in May or Halloween Effect in the SET50 index, and therefore invalidate the market efficiency
of the large, liquid stocks in the SET50 index of the Stock Exchange of Thailand.

(2560). การศึกษา “ช่วงของฤดูกาลที่ให้ผลตอบแทนที่สูงกว่าช่วงของฤดูกาลอื่น” ในตลาดหลักทรัพย์แห่งประเทศไทย . วารสารบริหารธุรกิจ นิด้า , 13(20), 117-132.