Tharavanij Piyapas, Siraprapasiri Vasan, Rajchamaha Kittichai
College of Management (CMMU), Mahidol University, Bangkok, Thailand.
Springerplus. 2015 Sep 25;4:552. doi: 10.1186/s40064-015-1334-7. eCollection 2015.
This paper examines the profitability of technical trading rules in the five Southeast Asian stock markets. The data cover a period of 14 years from January 2000 to December 2013. The instruments investigated are five Southeast Asian stock market indices: SET index (Thailand), FTSE Bursa Malaysia KLC index (Malaysia), FTSE Straits Times index (Singapore), JSX Composite index (Indonesia), and PSE composite index (the Philippines). Trading strategies investigated include Relative Strength Index, Stochastic oscillator, Moving Average Convergence-Divergence, Directional Movement Indicator and On Balance Volume. Performances are compared to a simple Buy-and-Hold. Statistical tests are also performed. Our empirical results show a strong performance of technical trading rules in an emerging stock market of Thailand but not in a more mature stock market of Singapore. The technical trading rules also generate statistical significant returns in the Malaysian, Indonesian and the Philippine markets. However, after taking transaction costs into account, most technical trading rules do not generate net returns. This fact suggests different levels of market efficiency among Southeast Asian stock markets. This paper finds three new insights. Firstly, technical indicators does not help much in terms of market timing. Basically, traders cannot expect to buy at a relative low price and sell at a relative high price by just using technical trading rules. Secondly, technical trading rules can be beneficial to individual investors as they help them to counter the behavioral bias called disposition effects which is the tendency to sell winning stocks too soon and holding on to losing stocks too long. Thirdly, even profitable strategies could not reliably predict subsequent market directions. They make money from having a higher average profit from profitable trades than an average loss from unprofitable ones.
本文考察了五个东南亚股票市场中技术交易规则的盈利能力。数据涵盖了从2000年1月至2013年12月的14年期间。所研究的工具是五个东南亚股票市场指数：泰国证券交易所指数（泰国）、富时马来西亚吉隆坡综合指数（马来西亚）、富时海峡时报指数（新加坡）、印尼证券交易所综合指数（印度尼西亚）和菲律宾证券交易所综合指数（菲律宾）。所研究的交易策略包括相对强弱指数、随机指标、移动平均线收敛背离、动向指标和平衡交易量。将这些策略的表现与简单的买入并持有策略进行比较。还进行了统计检验。我们的实证结果表明，技术交易规则在新兴的泰国股票市场表现强劲，但在更成熟的新加坡股票市场则不然。技术交易规则在马来西亚、印度尼西亚和菲律宾市场也产生了具有统计显著性的回报。然而，在考虑交易成本后，大多数技术交易规则并未产生净回报。这一事实表明东南亚股票市场的市场效率水平各不相同。本文发现了三个新的见解。首先，技术指标在市场时机选择方面帮助不大。基本上，交易者不能期望仅通过使用技术交易规则就能以相对低价买入并以相对高价卖出。其次，技术交易规则对个人投资者可能有益，因为它们有助于他们对抗一种称为处置效应的行为偏差，即过早卖出盈利股票而长期持有亏损股票的倾向。第三，即使是盈利策略也无法可靠地预测随后的市场方向。它们盈利是因为盈利交易的平均利润高于亏损交易的平均损失。
