Testing the effectiveness of some technical analysis method in HO CHI MINH stock exchange securities floor.

Abstract

The main purpose of this paper is to investigate the efficiency of some common Technical Analysis method including Moving Average, Moving Average Convergence/Divergence and Relative Strength Index on Ho Chi Minh Stock exchange. Inspection period was eight years, between 2005 and 2012. All accumulated returns were used to identify Technical Analysis performance compared to Buy and Hold strategy. These indicators were applied on VNINDEX and portfolios which were classified by industry and firm size as well as individual stocks. About industry and firm size based portfolios, the paper conducted portfolios‟ index which were depended on Equal-Weight theory.

This paper found some evidence that the investigated methods perform better in stable markets rather than emerging and fluctuating market. However, the findings strongly support MA strategies which generate the most profit, pass over trading cost challenge and market fluctuation. Moreover, it also found that shorten the computation period is more favorable. The other finding is that investors should invest in stocks regarding to the Construction and Its Materials, Basic Materials and Consumer goods and service

industries or small market capitalization firms in an effort to capture excess return.