Publication: Random walk down the set, can we really beat the market using simple technical analysis?.
Issued Date
2006
Resource Type
Language
eng
Rights
Mahidol University
Rights Holder(s)
chiang Mai University
Bibliographic Citation
Journal of Economics, Chiang Mai University. (2006),117-36
Suggested Citation
Jiranart Sutthirat Random walk down the set, can we really beat the market using simple technical analysis?.. Journal of Economics, Chiang Mai University. (2006),117-36. Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/9891
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Title
Random walk down the set, can we really beat the market using simple technical analysis?.
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Abstract
This study examines the potential benefit of employing the most
commonly used Technical trading strategies on the Thai stock market.
The study is based on the Stock Exchange of Thailand (SET) Index over
the period of April 1975 to April 2006. Two hundreds and eighty eight
different moving average and eighty different trading range break trading
models are assessed. The findings reveal the predictive ability of
technical trading rules. In the presence of transaction costs which are
measured through our new method, results show that both variable-length
and fixed-length moving average rules generate extra returns as compared
to the buy-and-hold strategy. The trading-range-break rules, even though
have return predictability, in some cases underperform the buy-and-hold
strategy due to an inability to generate enough return to compensate for
the commission fee.