The Stock Exchange of Thailand Index fell 15.08 points from Thursday to close at 1,341.43, a decrease of 1.4% from the previous Friday's close of 1,361.57. Turnover was light at 30.24 billion baht, with 6.2 billion shares traded.
The local market is down 3.6% from the end of 2012 and 18.9% from the year-high of 1,643.34 reached in mid-May.
While discussions on political reform are planned this weekend, it is not clear whether anti-government forces will yield in their demand to halt the Feb 2 election until their goals are met.
Meanwhile, global investors are concerned that improving US economic data may prompt the Fed to scale back the massive stimulus that has been fuelling stock and bond markets for more than a year.
Foreign investors were net sellers on Friday of 3.48 billion baht worth of Thai shares, bringing their net sales for the month to 32.6 billion baht. For the year to date they are net sellers of 185.9 billion baht.
Local institutions were net sellers of 357.2 million baht and brokers sold 1.3 billion. Individual investors were net buyers of 5.18 billion baht.
World stock markets were tentative on Friday as investors prepared for the Fed meeting next week.
In early trade in Europe, London's FTSE 100 shed 0.1%, France's CAC 40 was down 0.1% and Germany's DAX added 0.1%. Gains were expected on Wall Street, with Dow futures up 0.2%.
Tokyo's Nikkei 225 rose 0.4% to 15,403.11, Hong Kong's Hang Seng rose 0.1% to 23,245.96, Taiwan's Taiex added 0.2% to 8,376.44 and Sydney's S&P/ASX 200 gained 0.7% to 5,098.4. China's Shanghai Composite Index shed 0.3% to 2,196.07.
In Asean, Singapore gained but markets fell in Thailand, Malaysia and Jakarta, which might be more exposed if a reduction in Fed stimulus hurts US demand for imports or sparks short-term capital flight from Asian economies.
In Bangkok, the SET50 index of blue chips ended at 912.95 points, down 12.08, with total trade value of 24.1 billion baht. The SETHD index of high-dividend shares fell 11.10 points to 1,106.23, with turnover of 9.4 billion baht. The Market for Alternative Investment lost 3.35 points to 368.18, with transaction value of 1.1 billion baht.
The five most active shares by value were ADVANC, down 6 baht to 209; JAS, down 15 satang to 7.35 baht; KBANK, unchanged at 167 baht; INTUCH, down 1.50 baht to 73; and PTT, down 4 baht to 294.
In the currency markets, the baht snapped a six-week decline as market participants bet on elections planned for Feb 2 going ahead despite continuing protests.
Investors have been encouraged by signs that anti-government protest leaders may be willing to discuss reform proposals with the government.
The baht was trading late Friday in Bangkok at 32.03/05 to the dollar, compared with 32.07/09 on Wednesday and 32.27/29 a week earlier.
Bond market sentiment also improved. The yield on the 3.625% government bond due in June 2023 dropped eight basis points this week, the most since the week ending Oct 18, to 4.02%.
"We see at least some steps being taken to avoid the imminent risk of the worst scenario on the Thai political scene, which somewhat helped improve investor sentiment," said Tsutomu Soma, manager of fixed-income business at Rakuten Securities in Tokyo.