摘要：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 existed in the stock markets all over the world. Although there are many studies that have addressed the existence of abnormal returns during holiday periods a few studies have provided specific reasons for the existence of this phenomenon. This paper aims to study the holiday effect in returns and volatility of the Stock Exchange of Thailand. Moreover, this study examines whether the abnormal stock returns observed are associated with higher volatility during preholiday periods. Furthermore, it examines whether the holiday effect depends on the number of days in each holiday period and whether it varies between state and cultural holidays. Various GARCH models are employed to capture the volatility clustering nature of the stock market. Out of the three GARCH models considered, EGARCH (1,1) model shows the best performance. The results show that preholiday returns and volatility are abnormally high. Furthermore, the longer holiday periods tend to show higher preholiday returns. However, the impact of cultural factors on abnormal returns prior to cultural holidays is not so pronounced when compared to the impact of cultural factors on abnormal returns prior to non-cultural holidays. Keywords : Holiday, Calendar anomalies, Market Efficiency, Stock Exchange of Thailand JEL Classifications : G1, C01, G11
