Browsing Journal of Risk Management and Insurance by Author "Ploy Tang-u-thaisuk"
The Halloween effect and other seasonal anomalies in the energy sector of the stock exchange of Thailand Ploy Tang-u-thaisuk; Witsaroot Pariyaprasert; Ekkachai Boonchuaymetta (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 ...