Davis reached the semi-finals of a ranking event for the first time in his 21-year career last month at the Wuxi Classic in China, and has now followed that up with victory in the tournament at the Montien Riverside Hotel in the Thai capital.
The Sussex player took the opening frame with a break of 72, only for 2005 world champion Murphy to take the next two frames.
Davis then restored his one-frame lead but Murphy drew level. At 3-3, Davis won a tight frame 31-30, only for Murphy to again immediately peg him back.
After that, however, Davis pulled away. He won four straight frames, including two with breaks of 59 and the final with 55, to claim the 2 million baht (£40,000) winner's prize and repeat his success of 2009.