Evidence of and Explanation for Day-of-the-Week Effects in Thailand’s Government Bond Market

Abstract

This study is the first to provide evidence of day-of-the-week effects in Thailand’s government bond market. Using daily returns on constant-maturity bonds constructed from Thailand’s zero-coupon yield curves from Monday, July 2, 2001 to Monday, December 21, 2015, it finds that the 1-month and 3-month bonds have significantly positive Monday returns, while those of longer maturities of 3 to 15 years have significantly positive Thursday and Friday returns. Alternative explanations for the effects are thoroughly examined. The only successful explanation is that effects result from the bond auction. This explanation is new. For shortermaturity bonds, the positive Monday returns are the returns on auction Mondays. For longermaturity bonds, the positive Thursday and Friday returns are spillovers from the auctions of more-than-15-year bonds.