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Sources of Risk Analysis and Industrial Portfolio Allocationin the Stock Exchange of Thailand |
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| รหัสดีโอไอ | |
| Creator | Kanisorn Jeerasinkul |
| Title | Sources of Risk Analysis and Industrial Portfolio Allocationin the Stock Exchange of Thailand |
| Publisher | คณะบริหารธุรกิจ มหาวิทยาลัยแม่โจ้ |
| Publication Year | 2563 |
| Journal Title | วารสารบริหารธุรกิจ มหาวิทยาลัยแม่โจ้ |
| Journal Vol. | 2 |
| Journal No. | 2 |
| Page no. | 1 - 18 |
| Keyword | CES, Portfolio Allocation JEL Classification Codes: C32, G11, G32 SET Industry Group Index |
| URL Website | http://www.bareview.mju.ac.th/journal_bareview.php |
| Website title | เว็บไซต์วารสารบริหารธุรกิจ มหาวิทยาลัยแม่โจ้ |
| ISSN | 2697-4096 |
| Abstract | This study investigates the appropriate portfolio allocation in the Stock Exchange of Thailand consists of eight industry groups (agriculture and food industry, consumer products, financials, industrials, property and construction, resources, services, and technology). It investigates risk contribution in each industry group, using the Component Expected Shortfall (CES) approach. This paper applies the dynamic conditional correlation multivariate GARCH model to measure the dynamic correlation between each pair of industry group index and Thailand's stock market system. The empirical results show that the financial sector contributes to the highest risk in the Thai stock market, while consumption introduces the lowest risk source. Thus, the investor should consider investing the money in the consumption sector to reduce portfolio risk. |
