กลยุทธ์แบบตามตลาดและดัชนีความแข็งของราคาหลัก ทรัพย์สำหรับตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

          This study examines the momentum strategy and the contrarian strategy for the Stock Exchange of Thailand as well as the momentum strategy and the contrarian strategy with Relative Strength Index (RSI).  This study aims at providing empirical evidence on 1) the portfolio returns from the momentum strategy and the contrarian strategy with historical return and its sensitivity on the stock market condition (i.e., bull market and bear market) and 2) the portfolio returns from the momentum strategy and the contrarian strategy with RSI and its sensitivity on the stock market condition.

          Results from the momentum strategy and the contrarian strategy with historical returns show that for the Stock Exchange of Thailand, the momentum strategy earns more positive portfolio returns than the contrarian strategy does. Results on the momentum strategy and the contrarian strategy with RSI are consistent with results on the strategies with historical return. 

          Comparisons of the momentum strategy with historical returns and RSI suggest that portfolio returns from the momentum strategy with historical returns are more positive than those from the momentum strategy with RSI. However, the coefficients of variations (i.e., a ratio of the standard deviation to the mean) of the momentum portfolio with RSI are smaller than those of the momentum portfolio with historical returns.  

          This study also finds that during the bull market, both the momentum strategy with historical returns and the momentum strategy with RSI earn more positive returns with smaller CV, comparing to the bear market. This suggests that both the momentum strategy with historical returns and the momentum strategy with RSI are highly effective during the bull market.