Thai Capital Market

Task 1. Choose the securities in Thai capital market, preferably Stock Exchange of Thailand, at least 20 stocks. 1. using the monthly returns covering periods of 5 years to create efficient frontier 2. using weekly returns covering periods of 5 years to create efficient frontier 3. compare and discuss the results between two data frequencies used to construct the efficient frontier You must write the report that explains the procedures and results in detail Task 2. Choose 100 equities in Thai capital market. Using the monthly return data for period of 5 years to replicate the Fama-French-Carhart model. You must show the procedure of creating factor mimicking portfolio and its result. You also need to exhibit the regression results of your analysis. Discuss whether your result is similar to the standard idea of Fama-French-Carhart model or not.