Template-Type: ReDIF-Article 1.0
Author-Name: Lim, Siphat
Author-Name-First: Siphat
Author-Name-Last: Lim
Author-Email: lsiphat@cam-ed.com
Author-Workplace-Name: CamEd Business School, Phnom Penh, Cambodia
Author-Name: Flores, Edman
Author-Name-First: Edman
Author-Name-Last: Flores
Author-Email: lsiphat@cam-ed.com
Author-Workplace-Name: CamEd Business School, Phnom Penh, Cambodia
Author-Name: Barnett, Casey
Author-Name-First: Casey
Author-Name-Last: Barnett
Author-Email: lsiphat@cam-ed.com
Author-Workplace-Name: CamEd Business School, Phnom Penh, Cambodia
Author-Name: Islam, Md Monirul
Author-Name-First: Md Monirul
Author-Name-Last: Islam
Author-Email: lsiphat@cam-ed.com
Author-Workplace-Name: CamEd Business School, Phnom Penh, Cambodia
Title: Analyzing Cambodia Securities Exchange Index Returns using the Markov-Switching Autoregressive Model
Abstract: The examination of the weekly return behavior of the Cambodia Securities Exchange (CSX) index, spanning from 2012 to 2024, was categorized into two distinct states or regimes using the Markov-Switching Autoregressive model. The research findings indicated that the MS(2)-AR(1) model, which includes two states or regimes and a first-order autoregressive component, was the most suitable model. The empirical results showed that both the first-order lag of the dependent variable and the intercept term had a significant positive effect on the return of the CSX index at a 1% significance level, applicable to both Regime 1 and Regime 2 models. In contrast, the first-order autoregressive variable in the Regime 1 model demonstrated a significant negative effect on the return of the CSX index at the same 1% significance level, a relationship not observed in the Regime 2 model. The empirical results indicated a 38.35% likelihood of the CSX index transitioning from Regime 2 to Regime 1, while the probability of exiting Regime 1 was notably lower at 17.39%, as shown by the probability transition matrix. Additionally, the volatility of the CSX index returns in Regime 2 was found to be greater than that observed in Regime 1.
Keywords: Cambodia Securities Exchange Index, Markov-Switching Autoregressive Model, Probability Transition Matrix
Journal: International Journal of Economics and Financial Issues
Pages: 98-105
Volume: 15
Issue: 2
Year: 2025
Month: 02
DOI: 10.32479/ijefi.17647
File-URL: https://econjournals.com/index.php/ijefi/article/download/17647/8578
File-Format: application/pdf
Handle: RePEc:eco:journ1:v:15:y:2025:i:2:id:17647