A Test of January Effect by Using Contrarian and Momentum Investment Strategies in the Stock Exchange of Thailand

Abstract

This study aims to reexamine the January effect by using the contrarian investment strategy, the momentum investment strategy in the Stock Exchange of Thailand. For the contrarian investment strategy and the momentum investment strategy, data sample was gathered from all of the stocks listed on the SET50 Index in the Stock Exchange of Thailand and the financial stock industries are excluded. The sample period is range from January 2008 to January 2018. The data sample was analyzed by descriptive statistics such as average return, standard deviation, minimize return and maximize return from each strategy to examine the January effect. Moreover, inference statistics such as t-test was also used to analyze the data of this study. To summarize the finding, using contrarian and momentum investment strategies for profitable investment in January are not significantly different from non-January month. Therefore, the January Effect was not found in the Stock Exchange of Thailand.