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Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations

A market is efficient in the weak form when current prices reflect past market information (prices and volumes) in such that a technical analysis is no longer a viable tool for generating abnormal returns. This study re-investigated the weak form efficiency of Malaysia stock market using technical...

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Main Authors: Ling, Pick Soon, Ruzita Abdul-Rahim,
Format: Article
Language:English
Published: School of Social, Development and Environmental Studies, Faculty of Social Sciences and Humanities, Universiti Kebangsaan Malaysia 2016
Online Access:http://journalarticle.ukm.my/9808/1/1x.geografia-si-feb16-lingpicksoon-edam1_%282%29.pdf
http://journalarticle.ukm.my/9808/
http://www.ukm.my/geografia/v2/index.php?cont=a&item=2&thn=2016&vol=12&issue=2&ver=loc
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spelling my-ukm.journal.98082016-12-14T06:50:54Z http://journalarticle.ukm.my/9808/ Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations Ling, Pick Soon Ruzita Abdul-Rahim, A market is efficient in the weak form when current prices reflect past market information (prices and volumes) in such that a technical analysis is no longer a viable tool for generating abnormal returns. This study re-investigated the weak form efficiency of Malaysia stock market using technical trading strategies. To ensure reliability, transactions are executed based on the buy recommendations made by research houses registered with Bursa Malaysia. The weak form efficiency was tested based on the profits from selling signals of 5 most popular technical analysis indicators; namely shooting star, MACD oscillator, relative strength index, momentum indicator and simple moving average. The sell signals were generated using ChartNexus, one of the most contemporary technical analysis software. This study examined 547 buy recommendations from the recent year of 2013, involving 213 counters listed on Bursa Malaysia. The preliminary results showed that around 64 percent of the recommendations are accurate, i.e., generate positive returns. While the finding implies about 34 percent room of errors in the professional security analysts’ recommendations, the economically and statistically significant abnormal returns generated through the technical trading strategies provide solid evidence against weak form efficiency of the Malaysian stock market. School of Social, Development and Environmental Studies, Faculty of Social Sciences and Humanities, Universiti Kebangsaan Malaysia 2016-02 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/9808/1/1x.geografia-si-feb16-lingpicksoon-edam1_%282%29.pdf Ling, Pick Soon and Ruzita Abdul-Rahim, (2016) Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations. Geografia : Malaysian Journal of Society and Space, 12 (2). pp. 1-14. ISSN 2180-2491 http://www.ukm.my/geografia/v2/index.php?cont=a&item=2&thn=2016&vol=12&issue=2&ver=loc
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description A market is efficient in the weak form when current prices reflect past market information (prices and volumes) in such that a technical analysis is no longer a viable tool for generating abnormal returns. This study re-investigated the weak form efficiency of Malaysia stock market using technical trading strategies. To ensure reliability, transactions are executed based on the buy recommendations made by research houses registered with Bursa Malaysia. The weak form efficiency was tested based on the profits from selling signals of 5 most popular technical analysis indicators; namely shooting star, MACD oscillator, relative strength index, momentum indicator and simple moving average. The sell signals were generated using ChartNexus, one of the most contemporary technical analysis software. This study examined 547 buy recommendations from the recent year of 2013, involving 213 counters listed on Bursa Malaysia. The preliminary results showed that around 64 percent of the recommendations are accurate, i.e., generate positive returns. While the finding implies about 34 percent room of errors in the professional security analysts’ recommendations, the economically and statistically significant abnormal returns generated through the technical trading strategies provide solid evidence against weak form efficiency of the Malaysian stock market.
format Article
author Ling, Pick Soon
Ruzita Abdul-Rahim,
spellingShingle Ling, Pick Soon
Ruzita Abdul-Rahim,
Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations
author_facet Ling, Pick Soon
Ruzita Abdul-Rahim,
author_sort Ling, Pick Soon
title Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations
title_short Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations
title_full Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations
title_fullStr Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations
title_full_unstemmed Efficiency of Malaysian stock market: a revisit based on analysts’ recommendations
title_sort efficiency of malaysian stock market: a revisit based on analysts’ recommendations
publisher School of Social, Development and Environmental Studies, Faculty of Social Sciences and Humanities, Universiti Kebangsaan Malaysia
publishDate 2016
url http://journalarticle.ukm.my/9808/1/1x.geografia-si-feb16-lingpicksoon-edam1_%282%29.pdf
http://journalarticle.ukm.my/9808/
http://www.ukm.my/geografia/v2/index.php?cont=a&item=2&thn=2016&vol=12&issue=2&ver=loc
_version_ 1643737912471191552
score 13.211869

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