การประเมินประสิทธิภาพของเครื่องมือทางเทคนิคในการวิเคราะห์ดัชนีรายกลุ่มอุตสาหกรรมของตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

This independent study had two objectives, 1. to analyze the accuracy of technical devices for predicting the industry group index in the Stock Exchange of Thailand. It focused on analyzing efficiency of 4 technical analysis devices which were Moving Average, Moving Average Convergence-Divergence (MACD), Relative Strength Index (RSI), and Stochastic Oscillator (STO), which sent trading signal of 8 industry group index in the Stock Exchange of Thailand. Weekly secondary time series data from 1 January 2007 to 31 March 2013 was applied to analyze and estimate the risk values of industry group index in the Stock Exchange of Thailand by using extreme value theory. The highest values data of the samples were collected every 20 weeks from 1 January 2007 to 31 March 2013, and then the coefficient of variation was analyzed. Result found that the frequency of trading signals can be identified from the frequency of signals sent by the device and the profit gained from investment. More trading frequency showed that the investors had more chances to invest. However, it cannot predict if the investors will receive profits or lose. According to the frequency of indicating, it was found that the technical device which sending the most frequent signals in each industry group index is Stochastic Oscillator. The percentage of frequency of receiving profits from the investment can be identified from the percentage of frequency that the devices sent the right signals which help gaining profits. Different devices can predict the chance to gain profit from the investment when compared to the numbers of all investments. However, it cannot indicate the rates of returns from such investments. According to the percentage of frequency of gaining profit, it was found the technical device providing the highest chances to gain profit is Stochastic Oscillator. According to the study of risk extreme value estimation (extreme value theory) of 8 groups of industry group index in the Stock Exchange of Thailand from 1 January 2007 to 31 March 2013 by using median of the highest value in every 20 weeks to estimate returns and risk from investing in each industry groups, results showed that resource is the most effective group for investment in the Stock Exchange as its coefficient of variation is 17.18% which is the best value when compared to other industrial groups in the Stock Exchange of Thailand.