Interval-valued estimation for the five largest market capitalization stocks in the stock exchange of Thailand by Markov-Switching CAPM
© 2018, Springer International Publishing AG. The paper aims to quantify risk using Capital Asset Pricing Model (CAPM) of the 5 top-traded stocks in Thailand’s Stock Exchange market as well as to investigate existence of structural change in CAPM. Thus, in this paper, we compare non-linear Markov-sw...
Saved in:
Main Authors: | , , |
---|---|
Format: | Book Series |
Published: |
2018
|
Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038860468&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43870 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Chiang Mai University |
id |
th-cmuir.6653943832-43870 |
---|---|
record_format |
dspace |
spelling |
th-cmuir.6653943832-438702018-01-24T04:14:33Z Interval-valued estimation for the five largest market capitalization stocks in the stock exchange of Thailand by Markov-Switching CAPM Karn Thamprasert Pathairat Pastpipatkul Woraphon Yamaka © 2018, Springer International Publishing AG. The paper aims to quantify risk using Capital Asset Pricing Model (CAPM) of the 5 top-traded stocks in Thailand’s Stock Exchange market as well as to investigate existence of structural change in CAPM. Thus, in this paper, we compare non-linear Markov-switching CAPM with linear CAPM. In addition, we use interval-valued data instead of conventional single-valued data because of its ability to capture the whole period rather than a point of time. This paper, therefore, introduces an approach to fit both Markov-switching and linear CAPM to interval-valued data. Interval value of each stock return is retrieved from its midpoint to fit in Markov-switching and linear regression estimations which apply the midpoint of interval value of market return. From empirical analysis, the results are satisfactory as AIC judged that our Markov-switching CAPM outperforms the linear benchmark four out of five stocks. 2018-01-24T04:14:33Z 2018-01-24T04:14:33Z 2018-01-01 Book Series 1860949X 2-s2.0-85038860468 10.1007/978-3-319-73150-6_67 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038860468&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43870 |
institution |
Chiang Mai University |
building |
Chiang Mai University Library |
country |
Thailand |
collection |
CMU Intellectual Repository |
description |
© 2018, Springer International Publishing AG. The paper aims to quantify risk using Capital Asset Pricing Model (CAPM) of the 5 top-traded stocks in Thailand’s Stock Exchange market as well as to investigate existence of structural change in CAPM. Thus, in this paper, we compare non-linear Markov-switching CAPM with linear CAPM. In addition, we use interval-valued data instead of conventional single-valued data because of its ability to capture the whole period rather than a point of time. This paper, therefore, introduces an approach to fit both Markov-switching and linear CAPM to interval-valued data. Interval value of each stock return is retrieved from its midpoint to fit in Markov-switching and linear regression estimations which apply the midpoint of interval value of market return. From empirical analysis, the results are satisfactory as AIC judged that our Markov-switching CAPM outperforms the linear benchmark four out of five stocks. |
format |
Book Series |
author |
Karn Thamprasert Pathairat Pastpipatkul Woraphon Yamaka |
spellingShingle |
Karn Thamprasert Pathairat Pastpipatkul Woraphon Yamaka Interval-valued estimation for the five largest market capitalization stocks in the stock exchange of Thailand by Markov-Switching CAPM |
author_facet |
Karn Thamprasert Pathairat Pastpipatkul Woraphon Yamaka |
author_sort |
Karn Thamprasert |
title |
Interval-valued estimation for the five largest market capitalization stocks in the stock exchange of Thailand by Markov-Switching CAPM |
title_short |
Interval-valued estimation for the five largest market capitalization stocks in the stock exchange of Thailand by Markov-Switching CAPM |
title_full |
Interval-valued estimation for the five largest market capitalization stocks in the stock exchange of Thailand by Markov-Switching CAPM |
title_fullStr |
Interval-valued estimation for the five largest market capitalization stocks in the stock exchange of Thailand by Markov-Switching CAPM |
title_full_unstemmed |
Interval-valued estimation for the five largest market capitalization stocks in the stock exchange of Thailand by Markov-Switching CAPM |
title_sort |
interval-valued estimation for the five largest market capitalization stocks in the stock exchange of thailand by markov-switching capm |
publishDate |
2018 |
url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038860468&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43870 |
_version_ |
1681422453921808384 |