Browsing by Subject "January effect"
Now showing items 1-1 of 1
The Halloween effect and other seasonal anomalies in the energy sector of the stock exchange of Thailand (Assumption University Press, 2018)
This research aims to explore the existence of three well - known seasonal anomalies – the January Effect, the April Effect, and the Halloween Eff ect – as pertains to monthly returns as well as to volatility. Effects on returns and volatility will further be studied within the SET Energy index as well as 9 selected energy stocks from the period April 2005 to July 2016. The objective of this study is to find seasonality hidden within the above Index and stocks, and establish a simple trading strategy to ...