A research study submitted in partial fulfillment of the requirements for the degree of Master of Business Administration, School of Management

Research Studies Project Report (M.B.A.) - Asian Institute of Technology, 2005

This research attempts to study asset allocation in Thailand and furthermore including global stocks and bonds. The objective of this study is to indicate the optimal portfolio and minimum variance portfolio through analyzing historical data of Thai and global bond and equity indices during the period of January 1994-December 2004. Data used for the study is mainly collected through J.P. Morgan Securities Inc. and Morgan Stanley Capital international Co., Ltd. Five types of portfolio allocation are included in the study: Thai money security and equity; Thai bonds and equity; Thai bonds and equity adding global bonds; Thai bonds and equity adding global equity; and Thai bonds and equity adding global bonds and equity. The empirical results from the analysis indicate that allocating to both domestic and global fixed income instruments provided superior portfolio performance by strategic asset allocation method during the time period under investigation. There still are benefits of investing in Thai equity and also the advantages of overseas security allocation for risk diversification, especially allocating with global bonds. Moreover, this research can confirm that Thai capital market is a volatile market. The investment decisions are often for speculating and based on rumors rather than prudential fundamental analysis.