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研究生： Felly Liliyana Soenyoto
Felly Liliyana Soenyoto
論文名稱： Trading Performance of Simple Moving Average and Stochastic Oscillator in Indonesia Stock Market
Trading Performance of Simple Moving Average and Stochastic Oscillator in Indonesia Stock Market
指導教授： 陳俊男
Chun-Nan Chen
口試委員: 陳嬿如
Yen-Ru Chen
謝劍平
Joseph C.P. Shieh
林軒竹
Hsuan-Chun Lin
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2018
畢業學年度： 106
語文別： 英文
論文頁數： 60
中文關鍵詞： Technical analysis 、Simple Moving Average 、Stochastic Oscillator 、Indonesia
外文關鍵詞： Technical analysis, Simple Moving Average, Stochastic Oscillator, Indonesia
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    • ABSTRACT

    As Indonesia’s economy continues to grow, the profitability of stock market has become increasingly attractive for the many of investors. This research aims to investigate the usefulness of two commonly used technical analysis, which are simple moving average and stochastic oscillator in providing excess return to the large-cap stocks in Indonesia stock market. Statistic tests are used as tools to measure the performances of both technical indicators based on 30 samples of large-cap stocks in Indonesia for the period of 2007-2017. To avoid the undesirable effect of market’s net trend on the back-test result, the performance is measured during a sub period in which the data has no trend. The result shows that both simple moving average and stochastic oscillator do not provide a statistically significant excess return on large-cap stocks in Indonesia. Also, no significant difference is found between the return provided by both trading rules. The results support the Efficient Market Hypothesis (EMH) that is if the market is efficient, then any trading rule will not provide excess return. Besides, it is also found that a high winning probability does not necessarily guarantee that the trading rule can generate a profitable return as well.

    Keyword: Technical analysis, Simple Moving Average, Stochastic Oscillator, Indonesia

    ABSTRACT

    As Indonesia’s economy continues to grow, the profitability of stock market has become increasingly attractive for the many of investors. This research aims to investigate the usefulness of two commonly used technical analysis, which are simple moving average and stochastic oscillator in providing excess return to the large-cap stocks in Indonesia stock market. Statistic tests are used as tools to measure the performances of both technical indicators based on 30 samples of large-cap stocks in Indonesia for the period of 2007-2017. To avoid the undesirable effect of market’s net trend on the back-test result, the performance is measured during a sub period in which the data has no trend. The result shows that both simple moving average and stochastic oscillator do not provide a statistically significant excess return on large-cap stocks in Indonesia. Also, no significant difference is found between the return provided by both trading rules. The results support the Efficient Market Hypothesis (EMH) that is if the market is efficient, then any trading rule will not provide excess return. Besides, it is also found that a high winning probability does not necessarily guarantee that the trading rule can generate a profitable return as well.

    Keyword: Technical analysis, Simple Moving Average, Stochastic Oscillator, Indonesia

    TABLE OF CONTENTS ABSTRACT i ACKNOWLEDMENTS ii TABLE OF CONTENTS iii LIST OF TABLES v LIST OF FIGURES vi CHAPTER I. INTRODUCTION 1 1.1 Research Background 1 1.2 Statement of Research Problem 4 1.3 Research Objectives 4 1.4 Research Benefit 5 1.5 Research Flowchart 5 CHAPTER II. THEORETICAL BACKGROUND 7 2.1 Technical Analysis 7 2.2 Efficient Market Hypothesis (EMH) 8 2.3 Simple Moving Average (SMA) 9 2.4 Stochastic Oscillator (STO) 10 2.5 Hypothesis 12 CHAPTER III. RESEARCH METHOD 13 3.1 Data 13 3.2 Methodology 14 3.2.1 General Assumption 14 3.2.2 Return 14 3.2.3 Simple Moving Average 15 3.2.4 Stochastic Oscillator 16 3.2.5 Statistical Method 17 CHAPTER IV. ANALYSIS & RESULTS 20 4.1 Report of the Result 20 4.1.1 One-Sample T-Test 20 4.1.2 Two-Sample T-Test 20 4.1.3 The Winning Probability 21 4.2 Sensitivity Analysis 21 4.2.1 First Sensitivity Analysis – SMA_2060 & STO_9 21 4.2.2 Second Sensitivity Analysis – 40 Stocks 22 4.2.3 Third Sensitivity Analysis – with Trend 23 4.3 Discussion of The Result 24 4.2.1 Simple Moving Average 25 4.2.2 Stochastic Oscillator 26 4.2.3 Simple Moving Average and Stochastic Oscillator 27 4.2.4 Winning Probability 28 CHAPTER V. CONCLUSION & SUGGESTION 29 5.1 Conclusion 29 5.2 Limitations of the Research 31 5.3 Suggestion for Further Research 32 APPENDICES 33 Appendix 1. List of Average Excess Return per stock 33 Appendix 2. List of Average Excess Return per stock for First Sensitivity Analysis 34 Appendix 3. List of Average Excess Return per stock for Second Sensitivity Analysis 35 Appendix 4. List of Average Excess Return per stock for Third Sensitivity Analysis 37 Appendix 5. Result of One-Sample T-Test 39 Appendix 6. Result of Two-Sample T-Test 40 Appendix 7. Result of Winning & Losing Probability 41 Appendix 8. Result of One-Sample T-Test for First Sensitivity Analysis 42 Appendix 9. Result of Two-Sample T-Test for First Sensitivity Analysis 43 Appendix 10. Result of One-Sample T-Test for Second Sensitivity Analysis 44 Appendix 11. Result of Two-Sample T-Test for Second Sensitivity Analysis 45 Appendix 12. Result of One-Sample T-Test for Third Sensitivity Analysis 46 Appendix 13. Result of Two-Sample T-Test for Third Sensitivity Analysis 47 REFERENCES 48

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