Response of the Thai Stock Market to the Global News During the Global Financial

Abstract

          Using the data set comprised of good and bad news, this author have examined behavioral and efficient market hypotheses on the Thai stock market responses to the global news during the global financial crisis. The results of this study are as the followings: First, the Thai stock market gave more weight to the bad news than to the good news during the crisis. Second, the Thai stock market responded considerably stronger to the bad news during negative momentum and the good news with positive momentum. Third, in the case of bad news, the Thai stock market gave more weight to the soft news than to the hard news during the crisis. Therefore, we can conclude that irrational behaviors and biases of stock investors definitely existed in the Thai stock market during the global financial crisis.