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Market Efficiency Based on Unconventional Technical Trading Strategies in Malaysian Stock Market

Author

Listed:
  • Pick-Soon Ling

    (School of Economics, Faculty Economic and Management, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia)

  • Ruzita Abdul-Rahim

    (School of Management, Faculty Economics and Management, University Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia.)

Abstract

This study examines the efficiency of Malaysian stock market based on the effectiveness of unconventional technical trading strategies which combine buy recommendation of securities experts with sell signals from 10 different technical strategies (simple moving average, moving average envelopes, Bollinger bands, momentum, commodity channel index, relative strength index, stochastic, Williams percentage range, moving average convergence divergence oscillator and shooting star). We collect 1,665 buy recommendations involving 173 shares over a 3-year period starting January 1, 2013 until December 31, 2015. To ensure each buy recommendation is matched with the technical strategy's sell signals, the period is extended until March 31, 2016. Results of Jensen's alpha show that 6 out of 10 technical trading rules are significant in generating risk-adjusted net abnormal returns, suggesting Malaysian stock market is still inefficient in the weak form. This conclusion is supported with results of unit root tests on daily returns of the 173 shares over the same study period.

Suggested Citation

  • Pick-Soon Ling & Ruzita Abdul-Rahim, 2017. "Market Efficiency Based on Unconventional Technical Trading Strategies in Malaysian Stock Market," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 7(3), pages 88-96.
    • Handle: RePEc:eco:journ1:2017-03-13
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    References listed on IDEAS

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    Cited by:

    1. Stefán B. Gunnlaugsson, 2018. "Trading Rules On A Small Stock Market," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 46-55, March.

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    Keywords

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    JEL classification:

    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • P45 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - International Linkages

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