การเปรียบเทียบประสิทธิภาพของเครื่องมือการวิเคราะห์ทางเทคนิค: กรณีศึกษาตลาดหลักทรัพย์แห่งประเทศไทย [Efficiency Comparison of Technical Analysis: A Case Study of Stock Exchange of Thailand]
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เผยแพร่แล้ว:
ส.ค. 31, 2018
คำสำคัญ:
Technical Analysis Efficiency Moving Average Moving Average Convergence Divergence Relative Strength Index Slow Stochastic Oscillator
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บทคัดย่อ
การศึกษาการเปรียบเทียบประสิทธิภาพของเครื่องมือการวิเคราะห์ทางเทคนิคนี้ มีวัตถุประสงค์เพื่อเปรียบเทียบประสิทธิภาพของเครื่องมือการวิเคราะห์ทางเทคนิค 4 ชนิด โดยใช้ข้อมูลราคารายวันในช่วงวันที่ 1 มีนาคม พ.ศ. 2555 ถึง 28 กุมภาพันธ์ พ.ศ. 2560 ของหลักทรัพย์ที่ถูกใช้ในการคำนวณดัชนีราคาตลาดหลักทรัพย์แห่งประเทศไทย 50 หรือดัชนี SET 50
ผลการศึกษาพบว่าเครื่องมือการวิเคราะห์ทางเทคนิคทั้ง 4 ชนิดให้อัตราผลตอบแทนเฉลี่ยจากการลงทุนมากกว่าศูนย์เป็นส่วนใหญ่ ในส่วนของการสร้างอัตราผลตอบแทนเฉลี่ยไม่พบว่าเครื่องมือการวิเคราะห์ใดมีประสิทธิภาพดีกว่าเครื่องมืออื่น การเปรียบเทียบประสิทธิภาพของเครื่องมือการวิเคราะห์ทางเทคนิคระหว่างช่วงเวลาพบว่า ดัชนีกำลังสัมพัทธ์ให้อัตราผลตอบแทนเฉลี่ยในแต่ละช่วงเวลาไม่แตกต่างกันมาก ขณะที่สโลว์สโทแคสติกออสซิลเลเตอร์ให้อัตราผลตอบแทนเฉลี่ยโดยรวมมีค่าสูงที่สุด ส่วนค่าเฉลี่ยเคลื่อนที่ และค่าเฉลี่ยเคลื่อนที่แยกทางร่วมทาง ให้อัตราผลตอบแทนเฉลี่ยทั้งบวกและลบ แต่หากเปรียบเทียบกับการถือหลักทรัพย์ตลอดช่วงเวลาแล้ว พบว่า การวิเคราะห์ทางเทคนิคจะมีประสิทธิภาพในการเพิ่มอัตราผลตอบแทนจากการลงทุนในช่วงที่ตลาดมีแนวโน้มลดลง
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บทความวิจัย (Research article)
References
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2. Boonnae, C. (2011). Comparison of securities’ return by technical analysis in the agricultural futures exchange of Thailand. Independent Study, M.Econ., Chiang Mai University, Chiang Mai.
3. Boonplod, W. (2008). Comparison of securities’ return by technical analysis in the Market for Alternative Investment. Independent Study, M.Econ., Chiang Mai University, Chiang Mai.
4. Cholanakasem, N. (2004). Predictability of some selected technical analysis of stock prices in building and furnishing materials sector. Independent Study, M.Econ., Chiang Mai University, Chiang Mai.
5. Hoffmann, A. O. I. and Shefrin, H. (2014). Technical analysis and individual investors. Journal of Econmic Behavior and Organization, 107(November 2014), 487-511.
6. Iamkeng, M. (2008). Efficiency of technical analysis tools in forecasting movement of futures prices of robbed smoked rubber sheet No. 3 in the Agriculture Futures Exchange of Thailand. Independent Study, M.B.A., Chiang Mai University, Chiang Mai.
7. Khaitha, S. (2004). Predictability of technical analysis of stock prices in agricultural business sector. Independent Study, M.Econ., Chiang Mai University, Chiang Mai.
8. Kiranand, S. (2010). The survey of retail investor’s behavior on short-term investment in Stock Exchange of Thailand. Retrieved October 12, 2015, from https://www.set.or.th/setresearch/files/symposium/2553_paper2_FullPaper.pdf
9. Kulpakdeesingworn, A. (2010). Comparison of securities in banking sector return of Stock Exchange of Thailand by technical analysis. Research exercise, B.Econ., Chiang Mai University, Chiang Mai.
10. Lin, Q. (2018). Technical analysis and stock return predictability: An aligned approach. Journal of Financial Market, 38(March 2018), 103-123.
11. Magtanaroong, K. (2003). The efficiency analysis of technical analysis tools for stock prices prediction in the property development sector of the Stock Exchange of Thailand. Master thesis, M.Econ., Chiang Mai University, Chiang Mai.
12. Nanta, P. (2005). Predictability using technical analysis and return on stock investment in the finance and securities sector. Independent Study, M.Econ., Chiang Mai University, Chiang Mai.
13. Polsawad. P. (2011). Efficiency of technical analysis in stock price forecasting of transportation and logistics sector. Research exercise, B.Econ., Chiang Mai University, Chiang Mai.
14. Pornsirichaiwatana, P. (2006). Determining stock investment timing using the technical analysis. Independent Study, M.Econ., Chiang Mai University, Chiang Mai.
15. Promkutkeo, C. (2005). Efficiency of technical analysis in stock price forecasting of food and beverages and entertainment and recreation sectors securities. Independent Study, M.Econ., Chiang Mai University, Chiang Mai.
16. Stock Exchange of Thailand. (2018a). Summary of securities and listed companies. Retrieved January 13, 2018, from https://www.set.or.th/set/marketstatistics.do
17. Stock Exchange of Thailand. (2018b). Market overview. Retrieved January 13, 2018, from https://www.settrade.com/C13_MarketSummary.jsp?detail=SET50
18. Supa, S. (2004). Efficiency of technical analysis in stock price forecasting of communication sector securities. Independent study, M.Econ., Chiang Mai University, Chiang Mai.
19. Suparp, T. (2006). The technical analysis of stocks in transportation and logistics sector in the Stock Exchange of Thailand. Independent Study, M.Econ., Chiang Mai University, Chiang Mai.
20. Tangchalearnsilp, P. (2012). Comparison of the stock in SET high dividend 30’s return using technical analysis. Research Exercise, B.Econ., Chiang Mai University, Chiang Mai.
21. Tanyaluck, W. (2004). Efficiency of technical analysis in forecasting movement of Stock Exchange of Thailand index. Independent Study, M.B.A., Chiang Mai University, Chiang Mai.
22. Tasri, N. (2011). A comparative study on returns from investment in SET50 index futures by applying technical analysis. Independent Study, M.B.A., Chiang Mai University, Chiang Mai.
23. Thailand Securities Institute. (2013a). SET education. Retrieved November 26, 2013, from https://www.tsi-thailand.org/index.php?option=com_content&task=view&id=
1810&Itemid=1553
24. Thailand Securities Institute. (2013b). SET education. Retrieved November 26, 2013, from https://www.tsi-thailand.org/index.php?option=com_content&task=view&id=1816
25. Thititeerakarnchai, P. (2003). Technical analysis of return on Stock Exchange of Thailand investment: A case study of the energy sector. Master thesis, M.B.A., Chiang Mai University, Chiang Mai.