The Long-Run Returns and Risks of Various Asset Classes: Evidence from Thailand’s Financial Markets

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Nattawut Jenwittayaroje


This study estimates the return and risk of the following four asset classes in Thailand financial markets during the period 1976-2017. The study shows that over the 42-year period, common stock gives the highest rate of total return of 12.46 percent per year, but also with high volatility, measured by yearly returns of 42.62 percent per year. Ten-year government bonds (proxies for long-term government bonds), gold, and one-year government bills (which proxies for short-term government bonds) give rate of total returns of 7.70 percent, 6.63 percent, and 6.58 percent per year, respectively. One-year government bills and ten-year government bonds have a very low volatility of only 3.55 percent to 4.14 percent per year. But gold is quite volatile with a standard deviation of returns of 24.79 percent per year. However, the real returns (i.e., adjusted for inflation) of common stocks, ten-year government bonds, one-year government bills, and gold are all positive at 7.55 percent, 3.51 percent, 2.40 percent and 2.28 percent per year, respectively. Therefore, it can be concluded that all four main asset classes in Thailand can act as inflation-hedging instruments very well during the period.

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