This study investigates the calendar effectsin Thai stock market for both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (MAI). We analyze the effects in different market conditions, up and down markets; and bull and bear periods. More importantly, we also observe the pattern of trading behavior of four investor types by focusing on average net trading volume per day, month and quarter. 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-themonth effect are found in SET and MAI. However, some results vary in different market conditions. The December effect also exists in SET. 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.