Examining the January Effect in Thailand’s Stock Market: A 48-year Journey Since Its Inception


  • Komwut Wissawapaisal College of Digital Innovation Technology Rangsit University, Thailand


January effect, Thailand stock market, market anomaly


        This research aims to conduct a fundamental test to determine whether the January Effect occurs in the Thai stock market.  The January Effect refers to a calendar anomaly occasionally witnessed in the market, where stock prices exhibit a tendency to rise more during the month of January compared to other months throughout the year. This calendar effect would create an opportunity for investors to buy stocks for lower prices before January and sell them after their value increases.  The occurrence of the January Effect is not consistently observed, and its exact underlying causes remain uncertain, despite various proposed explanations. 

          The study covers a comprehensive and extensive time frame, spanning approximately 48 years, starting from the first trading day in 1975 to 2023. The data used in this study consists of the Stock Exchange of Thailand's main index, , known as the SET index. The study compared the average index level during the month of January with the average index level in the preceding December. Descriptive and inferential statistical analysis were employed to analyze the data.

          The research findings reveal that the January Effect occurred in the Thai stock market with a high probability of 62.5 percent (30 years out of 48 years of history). On average, throughout the inception period of 48 years, the index level in January was higher than that of December in the previous year by 2.86 percent. Additionally, in the 30 years where the January Effect occurred, the SET index showed an average increase of 6.08 percent in January.  Regardless, it has been observed that the occurrence of this phenomenon was decreasing. In the most recent decade, there was only a 50 percent chance of it happening.


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