The dependence structure and portfolio optimization in economic cycles: An application in ASEAN stock market

© Springer Nature Switzerland AG 2019. Investigation is made on the dependence structure of ASEAN stock markets, including Thailand, Indonesia, Malaysia, the Philippines, Vietnam and Singapore. Technically, data is divided into boom and recession periods during 2008–2017. The econometric tools emplo...

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Main Authors: Jittima Singvejsakul, Chukiat Chaiboonsri, Songsak Sriboonchitta
Format: Book Series
Published: 2019
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/65538
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-655382019-08-05T04:39:39Z The dependence structure and portfolio optimization in economic cycles: An application in ASEAN stock market Jittima Singvejsakul Chukiat Chaiboonsri Songsak Sriboonchitta Computer Science Mathematics © Springer Nature Switzerland AG 2019. Investigation is made on the dependence structure of ASEAN stock markets, including Thailand, Indonesia, Malaysia, the Philippines, Vietnam and Singapore. Technically, data is divided into boom and recession periods during 2008–2017. The econometric tools employed for the analysis are the Markov-Switching model (MS-model), D-vine trees and Markowitz Portfolio selection model. Empirically, the results of MS-model prescribe 649 and 1,600 stock trading days in the ASEAN stock markets for the bull and the recession period, respectively. Second, the findings of the relationship among ASEAN stock markets show that there are strongly positive dependent structures in bull period. On the other hand, in the bear periods, Vietnam stock market has the negative relation among stock markets in ASEAN countries. Third, the empirical results from the Markowitz portfolio selection indicated that the choice to minimize risk value in the bull period is more efficient than to maximize the return. The proportion to invest in this period is to invest Singapore that is the sensible choice to make the investment. Conversely, the best alternative way in recession period is to maximize return, and the diversification investment is more suitable to get lower risks since their dependent structure has the negative connection. 2019-08-05T04:35:06Z 2019-08-05T04:35:06Z 2019-01-01 Book Series 16113349 03029743 2-s2.0-85064226714 10.1007/978-3-030-14815-7_14 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85064226714&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65538
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Mathematics
spellingShingle Computer Science
Mathematics
Jittima Singvejsakul
Chukiat Chaiboonsri
Songsak Sriboonchitta
The dependence structure and portfolio optimization in economic cycles: An application in ASEAN stock market
description © Springer Nature Switzerland AG 2019. Investigation is made on the dependence structure of ASEAN stock markets, including Thailand, Indonesia, Malaysia, the Philippines, Vietnam and Singapore. Technically, data is divided into boom and recession periods during 2008–2017. The econometric tools employed for the analysis are the Markov-Switching model (MS-model), D-vine trees and Markowitz Portfolio selection model. Empirically, the results of MS-model prescribe 649 and 1,600 stock trading days in the ASEAN stock markets for the bull and the recession period, respectively. Second, the findings of the relationship among ASEAN stock markets show that there are strongly positive dependent structures in bull period. On the other hand, in the bear periods, Vietnam stock market has the negative relation among stock markets in ASEAN countries. Third, the empirical results from the Markowitz portfolio selection indicated that the choice to minimize risk value in the bull period is more efficient than to maximize the return. The proportion to invest in this period is to invest Singapore that is the sensible choice to make the investment. Conversely, the best alternative way in recession period is to maximize return, and the diversification investment is more suitable to get lower risks since their dependent structure has the negative connection.
format Book Series
author Jittima Singvejsakul
Chukiat Chaiboonsri
Songsak Sriboonchitta
author_facet Jittima Singvejsakul
Chukiat Chaiboonsri
Songsak Sriboonchitta
author_sort Jittima Singvejsakul
title The dependence structure and portfolio optimization in economic cycles: An application in ASEAN stock market
title_short The dependence structure and portfolio optimization in economic cycles: An application in ASEAN stock market
title_full The dependence structure and portfolio optimization in economic cycles: An application in ASEAN stock market
title_fullStr The dependence structure and portfolio optimization in economic cycles: An application in ASEAN stock market
title_full_unstemmed The dependence structure and portfolio optimization in economic cycles: An application in ASEAN stock market
title_sort dependence structure and portfolio optimization in economic cycles: an application in asean stock market
publishDate 2019
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85064226714&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/65538
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