• ทัศน์จิต หวังไพบูลย์กิจ
  • สมพร ปั่นโภชา
  • บำรุง พ่วงเกิด
Keywords: EMA, RSI, ADX, SET 50 Index Future


The objective of this study on “Testing Market Efficiency using Technical Analysis: Moving Average, RSI and ADX” is to study the probability of using technical analysis to find an excess returns on the investment. We have employed technical analysis tools which composed of EMA (Exponential Moving average), RSI (Relative Strength Index), ADX (Average Directional Index), Combination of EMA-RSI, Combination of EMA-ADX, Combination of RSI-ADX and Combination of EMA-RSI-ADX to find the buy and sell signals. Inspiration from international case studies such as Test of Global Market Efficiency (Chu, Frank Shui Ting) and The Profitability of a Combined Signal Approach: Bollinger Bands and the ADX (Shawn Lim, Tilman T. Hisarli and Ng Shi He) which found that each of them can generate an excess return.

The data in this study is the highest price, lowest price and the closing price of the SET 50 Index Future (Investors short sellable) in 15 minutes timeframe since 2nd January 2013 to 30th December 2016. We separate case study in to two cases by normal transaction cost trading and transaction free trading. We tested the weak form market efficiency by using the difference between the average monthly return from technical analysis tools with average monthly returns of buy and hold was positive at significant level 0.05 and 0.01.

The result from normal transaction cost trading indicated that EMA and Combination of EMA-RSI can generate excess total returns and the result from transaction free trading indicated that EMA, ADX, Combination of EMA-RSI, Combination of EMA-ADX, Combination of RSI-ADX and Combination of EMA-RSI-ADX can generate excess total returns. However, the result from statistical hypothesis testing of both case indicated that all technical analysis tool with EMA, RSI, ADX and their combinations should not be exploited to generate excess returns, consequently from the market was efficient in weak form.

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