| Author | Tasawate Weerawat |
| Call Number | AIT Thesis no.IE-93-39 |
| Subject(s) | Stocks--Prices--Thailand
|
| Note | A thesis submitted in partial fulfillment of the requirement for the degree of Master of Engineering, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Series Statement | Thesis ; no. IE-93-39 |
| Abstract | The common objective of studying and investing in the stock market is to make money. There are popular methods used in stock price analysis i.e. technical analysis, fundamental analysis and econometric models. These methods do not capture the real mechanisms of buying and selling of investors and speculators in the short run. Both investors and speculators have different strategies in buying and selling stock. The system dynamics approach is used in this study in order to build a simulation model of the stock price in the short run by treating their reactions separately and then combining them into one model with an assumption of no external factors. The data from selected company is used and adjusted to determine the appropriate values for each parameter of the model. The simulation results show that the number of floating shares, investment level, percentage of investors and speculators, and the type of speculators are the important factors for the stability of the stock price. The fluctuation in stock price can be reduced by transaction or capital gain tax policy. The random noise in stock price change makes the mean of stock price differ from the actual price level, which depends on the standard deviation of the noise. This model can be used as an experimental tool that lets users study and experiment with various kinds of parameters for understanding the different behaviors. This leads users to gain more experience and expertise in the mechanism of stock price change. The model therefore can be improved to capture more situations of the actual world and support the real policies. |
| Year | 1993 |
| Corresponding Series Added Entry | Asian Institute of Technology. Thesis ; no. IE-93-39 |
| Type | Thesis |
| School | School of Engineering and Technology |
| Department | Department of Industrial Systems Engineering (DISE) |
| Academic Program/FoS | Industrial Engineering (IE) |
| Chairperson(s) | Saeed, Khalid; |
| Examination Committee(s) | Fujiwara, Okitsugu ;Tang, John C. S.; |
| Scholarship Donor(s) | Royal Thai Government; |
| Degree | Thesis (M.Eng.) - Asian Institute of Technology |