Observers are more concerned about the protests' effect on the country's economy than the relative resilience of its markets, with many economists cutting their growth forecasts.
Thailand's finance ministry has cut its 2014 growth forecast to 3.1 percent from 4 percent.
"Virtually all demand-side components of GDP (gross domestic product) will likely be affected by the ongoing political unrest in the near term, led by slowing tourism and private investment," Nomura said in a note. "A bigger concern is the damage to Thailand's longer-term growth potential, which is already slowing. Given the political focus, much-needed economic reforms and infrastructure will likely take a backseat."
(Read more: Thai unrest casts doubt on investment expansions)
Many are hoping upcoming elections, set for February 2, might pave the way for a political resolution. But it's unclear whether the elections will proceed, with the Election Commission seeking approval from the Constitutional Court for a delay, or even whether all sides will accept the results.
The turmoil has led to concerns foreign companies may look elsewhere in the region rather than build or expand manufacturing facilities there.
"As long as we have this current landscape where we've got rural versus to some extent the urban wealth divide, you'll probably find that whoever is in charge may still be faced potentially with a repeat of what we're currently experiencing," CIMB's Song said. "While investors have this Teflon effect still, they might say maybe there are alternatives which provide greater stability."
Song noted, however, that some industries, such as the auto sector, are large, making up around 10 percent of Thailand's GDP, and any decisions about moving production will take time.
(Read more: Debt headache for Thai tycoon as protests bruise baht)
The protests, which began in late October, were triggered by parliament's consideration of a government-backed amnesty bill that could have allowed former Prime Minister Thaksin Shinawatra, who was ousted in a 2006 coup d'etat, to return home without facing time in prison for a 2008 graft sentence.
While the amnesty bill was dropped, the street protests have broadened out to an explicit call for Yingluck, who is Thaksin's sister, to step down.
—By CNBC.Com's Leslie Shaffer; Follow her on Twitter @LeslieShaffer1