Equity sector investing over business cycles: The case of Thailand

Abstract

This paper applied the business cycle approach to sector investing by using monthly sector returns in The Stock Exchange of Thailand (SET) from January 2004 to March 2018. It was found that construction material performed better than other stock sectors in the recovery stage. In the expansion stage, commerce, finance & securities, and paper & printing materials were top performers. In the contraction stage, commerce and health care services gave significant positive Jansen’s alpha while automotive and finance & securities sectors showed significant negative Jansen’s alpha. The overall results were in alignment with previous study and investment recommendations especially for the contraction stage. The results of this study provide practical recommendations to investors on which stock sector to focus on along the different stages of the business cycle.