کاربرد بهره‌گیری از تحلیل تکنیکی در بورس اوراق بهادار تهران (رویکردی بر میانگین متحرک)

Journal of Accounting Advances (J.A.A)
Vol. 2, No. 1, Summer 2010, Ser. 58/3
 
 
Extended Abstract
 
Using Technical Analysis in Tehran Stock Exchange Market
(Approach on Moving Average)
 
 
Dr. S. Samadi                         Dr. N. Izadinia            M. Davarzadeh
Esfahan University
 
 
Introduction
       Due to rapid changes in innovations and inventions in the world, a country can claim it has a safe and healthy economy which has a sufficient capital market and financial sector. In many countries, stock exchange market is the central core of capital market; one of the important subjects which is in the center of attention for investors in this market is how they can choose stocks and find appropriate time for selling and purchasing.
       In this regard there are several methods. One of the techniques of choosing stock is technical analysis. Technical Analysis is based on the amount of supply and demand. Technicians forecast the future trend of stock prices by using different graphs, historical prices and transaction volume of stocks. Forecasting in technical analysis does not mean obtaining an exact graph of future; it means finding the appropriate time for entering the market or departure, so that the return of selling and purchasing stocks in stock exchange market by using forecasting signals of technical analysis will significantly be better than return of selling and purchasing in this market without using forecasting signals of technical analysis. One of the most important instruments of technical analysis is moving average. In this paper, we investigate the efficiency of using technical analysis (moving average) in Tehran Stock Exchange Market, in three levels of total index, different industries and firm's index.
 
Hypothesis
       In this survey, we use two line techniques or simultaneous use of 10 days and 20 days Moving Average, as a pattern in technical analysis, for finding and testing the selling and buying signals. The hypotheses of the survey are:
       1. When we use the forecasting signals of technical analysis on the broad indices level, the rate of return on trading in Tehran Stock Exchange is significantly higher than when we do not use these techniques.
       2. When we use the forecasting signals of technical analysis on industries level, the rate of return on trading in Tehran Stock Exchange is significantly higher than when we do not use these techniques.
       3. When we use the forecasting signals of technical analysis on industries level, the rate of return on trading in Tehran Stock Exchange is significantly higher than when we do not use these techniques.
       4. When we use the forecasting signals of technical analysis on the broad indices (T) level, the rate of return on trading in Tehran Stock Exchange is significantly higher than the rate of return when we do not use these techniques on the industry (i).
       5. When we use the forecasting signals of technical analysis on the industry (i), the rate of return on trading in Tehran Stock Exchange is significantly higher than the rate of return when we do not use these techniques on the industry (j).
      
Methods
       In this research, the beneficial use of 10 days and 20 days moving average predictor signals, the index of‍ technical analysis and type of delay time index have been studied. Moving average rule, divided the total amount of the samples into two groups (related period‍ to buying and selling symptoms) divided‍, depending on what the moving average‍ yields. If the short term moving average is higher than long term moving average‍, this is a buy signal and if the short term moving average ‍is ‍lower than long term moving average‍, this is a sales signal. Investors buy‍ when the short term moving average moves ‍from below into the long term moving average, and stop acting in market ‍until the short term moving average‍ moves from up into long term moving average. Return or profit for each buy or maintenance strategy signal and any sale or not holding strategy signal, has been calculated. Then returns from the use of technical analysis and return from not using this method are compared. Therefore, the principal aim of this study is comparing returns ‍from shares ownership and lack of shares ownership when 10 day and 20 days moving average predictor signals have buy and sales suggestions with similar value obtained using buy, maintenance, or not to use of 10-days and 20 days moving average predictor signals.
 
Results
       In this study, it was observed that the use of 10 days and 20 days moving average predictor signals in Tehran Stock Exchange has acceptable performance in Tehran Stock Exchange broad indices level, industries and firms, so using technical analysis in Tehran Stock Exchange Market has acceptable significance in all levels. The results also identified that use of 10 days and 20 days moving average predictor signals has higher efficiency than not using this method, and efficiency of using 10 days and 20 days moving average predictor signals in Tehran Stock Exchange board indices level has higher efficiency and more significance than using technical analysis in groups (various industries) level. Also efficiency of using 10 days and 20 days moving average predictor signals in groups level is higher than efficiency of using technical analysis in the firms level and has more significant.
 
Discussion and Conclusion
       We conclude that by using forecasting signals of technical analysis, we can have an appropriate return from an insufficient capital market.
In this study, for first time ‍Stock price data of Iran exchange were used to investigate the efficiency of using Technical analysis (10 days and 20 days moving average) in Tehran Stock Exchange,  in three levels of total index, groups ‍and firms‍; It was observed  that using Technical analysis‍ in Tehran Stock Exchange, at all levels, has higher efficiency than not using this method‍, and  efficiency of using Technical analysis  in Tehran Stock Exchange in general index level is more appropriate and has ‍more significance than using ‍technical analysis in groups level. The efficiency of using Technical analysis in industries level is ‍higher and more significant ‍than using technical analysis in firms level.