本論文之目的在於探討泰國油品市場之投資,探討數據是依據泰國證券交易所(SET)及美國證券交易所(NYSE)之股價資訊。研究方法為移動平均線法,其中包含了五日、十日以及二十日等三種移動平均線,且所有研究結果都必須以統計檢定方式驗證其顯著性。探討期間包含了從西元2008年元月至2013年十二月等六年時間。研究顯示移動平均線法對於泰國油品市場之投資具有顯著性,而泰國油品市場與國際知名油公司間之股價相關聯性亦有探討。 本研究中所有股價資訊皆是由e-finance Thai所下載,且皆以日收盤價作為計算依據。統計檢定包含了泰國及部分在紐約上市的油品公司,檢定結果顯示移動平均線法可提供投資人正確投資訊號,適合在油品市場投資之用。
The objective of this study is to investigate the oil market in Thailand using data of oil companies in the Stock Exchange of Thailand (SET) and New York Stock Exchange (NYSE). An investment strategy that uses the moving average technique is proposed in this research. The moving average is the most popular technical indicator representing an average in a different time intervals. Three different moving averages, 5-days, 10-days, and 20-days are tested to verify the effectiveness of the proposed model. This strategy will be verified by a series of daily data covering from 2 January 2008 to 31 December 2013(6 years). The result shows that the proposed strategy can make significant profit. The correlation uses the closing prices of the oil market between the Stock Exchange of Thailand (SET) and New York Stock Exchange (NYSE) is also studied. The price history used in the analysis for all 9 stocks was downloaded from e-finance Thai by program e-fin smart portal and Yahoo, Finance website. Daily index closing price is used in this research. Furthermore, the statistic test is used to verify the effectiveness of the performance of simple moving average indicator. The empirical evidence leads to the inference that simple moving average is a significant tool of investing at the Stock Exchange of Thailand (SET) and New York Stock Exchange (NYSE).The result shows that all performances of the moving average method for most time intervals can give significant support for investor to make profit and the entire test statistics are of the correct sign. This indicates that the introduced model is effective even in the stock market.