The Stock Exchange of Thailand Index fell 9.75 points from Thursday to close at 1,298.71. Turnover was 33.6 billion baht, with 4.72 billion shares traded.
The local market ended the year down 6.7% from the end of 2012. Last year the SET was the fifth best performer in the world with a gain of 35.7% over the year before.
Most of the declines this year came in the second half as political conditions worsened and the domestic economy sagged.
In the first half, the SET and other emerging markets worldwide were buoyed by heavy inflows of foreign capital as a result of US Federal Reserve stimulus.
As capital flowed in, the Thai market pushed above 1,500 points for the first time since 1994. Trading turnover was averaging close to 60 billion baht a day, nearly double the previous year's figure.
The second half was a complete reversal, however. The market has fallen 21% from the year-high of 1,643.34 reached in mid-May. The low for the year, 1,275.76, was recorded in August.
Most other Asian markets posted strong gains in 2013, led by the Nikkei 225 in Tokyo, which was up 55.6% from the end of last year, and the Karachi exchange in Pakistan, up 56.5%.
However, Shanghai was down 7.4% on the year and the Shenzhen Composite slid 11.7%. The other two Asean markets in the red were Singapore, down 0.5%, and Indonesia, down 2.4%.
The other global markets recording losses were led by Peru, down 24.4%, Turkey (18.5%), Brazil (16%), Chile (15.1%), Colombia (11.4%), Russia (4.9%) and the Czech Republic (4.9%).
Foreign investors on the SET have been selling steadily for most of the second half. In some cases they have been acting on concerns about political risk, but most of the selling has been prompted by external factors.
Chief among those has been the expectation that the US Federal Reserve would begin to scale back its stimulus, which it finally confirmed this month that it would do, starting in January.
On Friday foreign investors were net sellers of 716.25 million baht worth of Thai shares, bringing their net sales for the month to 40.58 billion baht. For the year they were net sellers of 193.11 billion baht, the highest figure among 11 Asian markets tracked by Bloomberg.
Local institutions were net sellers of 1.85 billion baht, bringing their position for the year to 108.16 billion in net buying. Brokers trading for their own portfolios were net buyers of 396.1 million baht but net sellers for the year of 1.72 billion.
Individual investors were net buyers of 2.18 billion baht on Friday for a year-end total of 87.47 billion baht in net buying.
The SET50 index of blue chips closed on Friday at 883.40 points, down 8.05 points, with total trade value of 25.5 billion baht. The SETHD index of high-dividend shares fell 2.02 points to 1,091.62, with turnover of 9.71 billion baht. The Market for Alternative Investment gained 2.10 points to 356.80, with transaction value of 455 million baht.
The five most active shares by value on Friday were KBANK, down 4 baht to 156 baht; JAS, down 15 satang to 6.70 baht; ADVANC, down 4.50 baht to 199.50; CPALL, down 75 satang to 42 baht; and the True Infrastructure Fund (TRUEIF), which was unchanged on its first day of trading at 10 baht.
In the currency markets, the baht fell to the lowest level since 2010 on concern that worsening political unrest will spur further capital outflows.
"The baht is driven by political sentiment and portfolio flows," said Saktiandi Supaat, the Singapore-based head of foreign-exchange research at Maybank. "We’re particularly watching equity flows, which seem quite concerning."
The baht was trading late Friday in Bangkok at 32.86/88 to the dollar, compared with 32.82/86 on Thursday and 32.62/64 a week earlier.