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/ http://journalarticle.ukm.my/9808/ http://journalarticle.ukm.my/9808/1/1x.geografia-si-feb16-lingpicksoon-edam1_%282%29.pdf

id	ukm-9808
recordtype	eprints
spelling	ukm-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
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
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/ http://journalarticle.ukm.my/9808/ http://journalarticle.ukm.my/9808/1/1x.geografia-si-feb16-lingpicksoon-edam1_%282%29.pdf
first_indexed	2023-09-18T19:55:46Z
last_indexed	2023-09-18T19:55:46Z
_version_	1777406518779445248

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

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