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Dynamic Portfolio Allocation using the Markov Switching Model: The Case of Thailand |
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| รหัสดีโอไอ | |
| Creator | Pawared Piyajitmetta |
| Title | Dynamic Portfolio Allocation using the Markov Switching Model: The Case of Thailand |
| Contributor | Yuthana Sethapramote |
| Publisher | Business Administration Kasetsart University |
| Publication Year | 2566 |
| Journal Title | Kasetsart Applied Business Journal |
| Journal Vol. | 17 |
| Journal No. | 26 |
| Page no. | 89-116 |
| Keyword | Dynamic portfolio allocation, Market regime, Markov-switching model |
| URL Website | https://so04.tci-thaijo.org/index.php/KAB/about |
| Website title | http://journal.bus.ku.ac.th/ |
| ISSN | 25396250 ONLINE |
| Abstract | This paper employed the Markov-switching model for estimating the expected return,variance, and covariance of the investment portfolio including large capitalization stock,small capitalization stock and government bond. This model allows for changes in marketregimes, i.e. bull and bear markets. The empirical results showed that the large capitalizationstock and small capitalization stock have higher risk-adjusted return and could be allocatedin portfolio during the bull regime. However, almost all investment weights are allocated togovernment bonds, which are characterized as safe haven assets, during the bear regime.Comparing the portfolio performance, we found that dynamic portfolio allocation accordingto the parameter estimation in the Markov-switching model has better performancebased on cumulative return, volatility and Sharpe ratio than those of equal weight portfolioand Markowitz mean-variance portfolio for both in-sample and out-of-sample periods. |
