This study investigates the calendar effects in Thai stock market for both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (MAI). We explore the effects in different market conditions, up and down markets; and bull and bear periods. Our empirical results confirm the existence of day-of-the-week effects in Thai stock market. Although the Monday effect does not exist in Thai stock market, the weekend effect and the turn-of-the-month effect are found in SET and MAI. However, there is no December effect in MAI. Sell-in-May effect and October effect appear in MAI during down market sub-period. Regarding quarter-of-the year, there is no significant different in the quarterly return for both SET and MAI.