การเปรียบเทียบประสิทธิภาพของเครื่องมือการวิเคราะห์ทางเทคนิค: กรณีศึกษาตลาดหลักทรัพย์แห่งประเทศไทย [Efficiency Comparison of Technical Analysis: A Case Study of Stock Exchange of Thailand]
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Published:
Aug 31, 2018
Keywords:
การวิเคราะห์ทางเทคนิค ประสิทธิภาพ ค่าเฉลี่ยเคลื่อนที่ ค่าเฉลี่ยเคลื่อนที่ร่วมทางแยกทาง ดัชนีกำลังสัมพัทธ์ สโลว์สโทแคสติกออสซิลเลเตอร์
Main Article Content
Abstract
The study of efficiency comparison of technical analysis aims to compare the efficiency of 4 technical analyses. The daily prices from March 1, 2012 to February 28, 2017 of the stock included in the SET 50 index are employed.
The results show that 4 technical analyses have the positive average rates of returns in most cases. The efficiency of the 4 technical analyses is not different in terms of the average rates of returns.The efficiency comparison over time of the technical analyses shows that the relative strength index has an indifferent average rates of returns over time, the slow stochastic oscillator has the highest average rates of returns, and the moving average and the moving average convergence divergence have both positive and negative average rates of returns. However, the technical analyses have the efficiency to raise the rates of returns in the bearish market.
Article Details
How to Cite
นิ่มอนุสสรณ์กุล ช., & ไชยวรรณ อ. (2018). การเปรียบเทียบประสิทธิภาพของเครื่องมือการวิเคราะห์ทางเทคนิค: กรณีศึกษาตลาดหลักทรัพย์แห่งประเทศไทย [Efficiency Comparison of Technical Analysis: A Case Study of Stock Exchange of Thailand]. Journal of Business, Innovation and Sustainability (JBIS), 3(2), 45–56. retrieved from https://so02.tci-thaijo.org/index.php/BECJournal/article/view/92594
Section
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.
