Random walk down the set, can we really beat the market using technical analysis?.
Issued Date
2007
Resource Type
Language
eng
Rights
Mahidol University
Suggested Citation
Jiranart Sutthirat (2007). Random walk down the set, can we really beat the market using technical analysis?.. Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/35009
Title
Random walk down the set, can we really beat the market using technical analysis?.
Author(s)
Other Contributor(s)
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.
Description
Research Seminar on Research for MUIC Development, Mahidol University International College, Thailand. January 19, 2007