Time-varying beta estimation in CAPM under the regime-switching Model

Time-varying beta estimation in CAPM under the regime-switching Model

© 2018, Springer International Publishing AG. The objectives of this study are to analyze the risk of investment and to examine the structural change in the CAPM. To there ends, the Markov Switching dynamic regression is employed to construct the time varying beta risk when the market exhibits struc...

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Main Authors: Roengchai Tansuchat, Sukrit Thongkairat, Woraphon Yamaka, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
Computer Science
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038854207&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58541
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Institution: Chiang Mai University
id th-cmuir.6653943832-58541
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spelling th-cmuir.6653943832-585412018-09-05T04:26:06Z Time-varying beta estimation in CAPM under the regime-switching Model Roengchai Tansuchat Sukrit Thongkairat Woraphon Yamaka Songsak Sriboonchitta Computer Science © 2018, Springer International Publishing AG. The objectives of this study are to analyze the risk of investment and to examine the structural change in the CAPM. To there ends, the Markov Switching dynamic regression is employed to construct the time varying beta risk when the market exhibits structural change. The model is applied to the Thai stock return data. The empirical results show a strong evidence of structural change in CAPM for four out of five Thai stocks of large market capitalization. We observe that the movement of Thai stocks fluctuated widely during the market turbulence, especially at the time of Thai financial crisis. 2018-09-05T04:26:06Z 2018-09-05T04:26:06Z 2018-01-01 Book Series 1860949X 2-s2.0-85038854207 10.1007/978-3-319-73150-6_66 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038854207&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58541
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
spellingShingle Computer Science
Roengchai Tansuchat
Sukrit Thongkairat
Woraphon Yamaka
Songsak Sriboonchitta
Time-varying beta estimation in CAPM under the regime-switching Model
description © 2018, Springer International Publishing AG. The objectives of this study are to analyze the risk of investment and to examine the structural change in the CAPM. To there ends, the Markov Switching dynamic regression is employed to construct the time varying beta risk when the market exhibits structural change. The model is applied to the Thai stock return data. The empirical results show a strong evidence of structural change in CAPM for four out of five Thai stocks of large market capitalization. We observe that the movement of Thai stocks fluctuated widely during the market turbulence, especially at the time of Thai financial crisis.
format Book Series
author Roengchai Tansuchat
Sukrit Thongkairat
Woraphon Yamaka
Songsak Sriboonchitta
author_facet Roengchai Tansuchat
Sukrit Thongkairat
Woraphon Yamaka
Songsak Sriboonchitta
author_sort Roengchai Tansuchat
title Time-varying beta estimation in CAPM under the regime-switching Model
title_short Time-varying beta estimation in CAPM under the regime-switching Model
title_full Time-varying beta estimation in CAPM under the regime-switching Model
title_fullStr Time-varying beta estimation in CAPM under the regime-switching Model
title_full_unstemmed Time-varying beta estimation in CAPM under the regime-switching Model
title_sort time-varying beta estimation in capm under the regime-switching model
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038854207&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58541
_version_ 1681425084673163264

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