การประมาณการแบบจำลองในการกำหนดราคาหลักทรัพย์ของหลักทรัพย์กลุ่มการแพทย์ในตลาดหลักทรัพย์แห่งประเทศไทย ด้วยแบบจำลองมาร์คอฟ-สวิตชิงเวกเตอร์ ออโตรีเกรสซีพ

Abstract

The object of this study was to estimation of Capital Asset Pricing Model (CAPM) in Health Care Services Sector in the Stock Exchange of Thailand. The conditional Capital Asset Pricing Model theory suggests that systematic risk factor (beta) is changing over time. Therefore, this paper investigates the time-varying beta behavior using the two-regime Markov-switching model which are market up-trend (Bullish market) and market downturn (Bearish market). Five securities in the Health Care Services Sector, namely, the Bangkok Dusit Medical Services public company limited (BDMS), the Bumrungrad Hospital public company limited (BH), the Samitivej public company limited (SVH), the Ramkhamhaeng Hospital public company limited (RAM) and the Bangkok Chain Hospital public company limited (BCH), were selected for the estimation by using their 72 monthly closing price from 2009 to 2014. Unit root test was performed to confirm the stationary nature of these time series. Consequently, estimation risk from CAPM Model was undertaken following the Markov-switching model.

The result when market is up-trending (Bull market or High regime) found that the risk of RAM and BCH securities were 1.296 and 1.235, respectively. These securities were determined as an Aggressive stock. Furthermore, the risk of BDMS, BH and SVH securities were 0.067, 0.266 and 0.555, respectively. These securities were determined as a Defensive stock. On the other hand, when the market is down-turning (Bear market or Low regime) found that the risk of BDMS, BH, SVH, BCH and RAM securities were 0.825, 0.456, 0.139, 0.667 and -0.003, respectively. These securities were determined as a Defensive stock. Every securities has positive correlation with market return, except RAM security has negative correlation with market return. The comparison of expected return from securities with the Securities Market Line (SML) showed that expected return of BDMS, BH, SVH, RAM and BCH securities were over the Securities Market Line (SML) when market is up-trending. This implies that these securities were Under Value. Therefore, the investor should buy these securities before their price increase. Only the expected return of RAM securities was found over the Securities Market Line (SML) when market in down-turning. However, the expected return of BDMS, BH, SVH and BCH securities were under the Securities Market Line (SML). This implies that these securities were Over Value. Therefore, the investor should sell these securities before their price decrease.