Journal of Risk Management and Insurance: Vol. 21 No. 1 (2017)

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    The effectiveness of confirming indicators: a case study of Stocks in Thailand
    (Assumption University Press, 2017) Shivathep Srichawla ; Suppanunta Romprasert
    This paper developed a model that tested trading signals (including double and triple indicators) on the security traded in the Stock Exchange of Thailand (SET). One indicator from each of the six groups of technical indicators, including MACD, Parabolic SAR (PSAR), RSI, Twiggs Money Flow, Volume Oscillator, and Bollinger Bands, were tested in order to determine whether their use could generate excess returns for investors. PSAR was the most profitable indicator as it alone or when used in combined with other indicators could generate excess returns. The findings showed that the AND function could be use to combine trading signals but with proper interpretation of inputs. Findings also showed that combined indicators increase abnormal profits above individual indicators. A combined indicators model had the best performance in terms of End of Period Wealth and the least downside risk which was measured by Maximum Drawdown. The significance of this research is that it identifies confirming indicators that can be used effectively to generate excess profits, although the findings do have some limitations which is discussed in this paper however further study on similar concept is highly recommended.
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    Agricultural commodity futures and stock market: evidence from RSS3 Futures in Thailand
    This study aims to examine the role of RSS3 Futures as the hedge for stock market in Thailand. The data is collected from May 28, 2004 until December 31, 2015, which includes totally 2,833 trading days. The results show that there is no relationship between RSS3 Futures and the stock market implying that RSS3 Futures can be the hedge for stock market in general. However, RSS3 Futures is not the candidate for safe haven of stock market because it shows no hedge property during the period of extremely negative stock returns. The result implies investors in Thailand, especially stock investors, should consider adding RSS3 Futures in their optimal portfolio because it clearly shows that RSS3 Futures can help in diversifying the risk, especially during the periods of stock market downturn.