Market Efficiency of the Stock Exchange og Thailand

Abstract

The study of market efficiency of the Stock Exchange od Thailand used daily closing prices of 17 listed companies in the property development sector in SET100. This study covered the period from Jannuary 4,2010 to December 30, 2010. Dummy variables each representing Tuesday, Wednesday, Friday, and Tuseday after Monday holidays were employed as independent variable. Daily closing prices were utilized as dependent variables. According to the statistically significant level of 5%, none of the closing prices of all 17 listed companies are affected by independent variable, meaning that closing prices in the past have no impact on closing prucese in the future, or closing prices in the past and closing prices in the future are unrelated. Hence, the Stock Exchange of Thailand is a weak-form of efficient market. Further studies should examine the semi-strong and strong-form of efficient market of Stock Exchange of Thailand.