การวิเคราะห์ต้นกำเนิดของความเสี่ยงและการจัดสรรการลงทุนอุตสาหกรรมในตลาดหลักทรัพย์แห่งประเทศไทย

Kanisorn Jeerasinkul

doi:10.14456/mjba.2020.6

ผู้แต่ง

Kanisorn Jeerasinkul Faculty of Economics, Chiang Mai University

DOI:

https://doi.org/10.14456/mjba.2020.6

คำสำคัญ:

CES, Portfolio Allocation JEL Classification Codes: C32, G11, G32, SET Industry Group Index

บทคัดย่อ

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.

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