The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks
Joint Authors
Ling, Pick-Soon
Abd al-Rahim, Ruzita
Said, Fathin Faizah
Source
ISRA International Journal of Islamic Finance
Issue
Vol. 12, Issue 2 (31 Aug. 2020), pp.195-215, 21 p.
Publisher
International Shari'ah Research Academy for Islamic Finance
Publication Date
2020-08-31
Country of Publication
Malaysia
No. of Pages
21
Main Subjects
Abstract EN
Purpose-this study aims to investigate Malaysian stock market efficiency from the view of shariah compliant and conventional stocks based on the effectiveness of technical trading strategies.
design/methodology/approach-this study uses unconventional trading strategies that mix buy recommendations of bursa Malaysia analysts with sell signals generated from 10 selected technical trading 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) that are detected using chartnexus.
the period from 1 January 2013 until 31 December 2015 produces a total sample consisting of 1,265 buy recommendations of 125 shariah compliant stocks and 400 buy recommendations of conventional stocks.
the study period is extended until 31 march 2016 to provide an ample time for detecting the sell signal especially for buy recommendations that are released towards the end of 2015.
findings – the resulting Jensen's alpha show 8 out of 10 strategies are effective in generating abnormal returns in shariah-compliant samples while only 3 out of 10 strategies are effective in conventional samples.
prominent effectiveness of technical trading strategies in shariah-compliant stocks implies clear inefficiency in that stock market segment as opposed to those of the conventional stocks.
originality/value-the results based on unconventional trading strategies provide new insights of Malaysian stock market efficiency especially in shariah-compliant and conventional stocks.
the paper provides more robust findings on market efficiency as firms’ equity level data were focussed together with analysts’ buy recommendations from bursa Malaysia.
American Psychological Association (APA)
Ling, Pick-Soon& Abd al-Rahim, Ruzita& Said, Fathin Faizah. 2020. The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks. ISRA International Journal of Islamic Finance،Vol. 12, no. 2, pp.195-215.
https://search.emarefa.net/detail/BIM-1430170
Modern Language Association (MLA)
Ling, Pick-Soon…[et al.]. The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks. ISRA International Journal of Islamic Finance Vol. 12, no. 2 (2020), pp.195-215.
https://search.emarefa.net/detail/BIM-1430170
American Medical Association (AMA)
Ling, Pick-Soon& Abd al-Rahim, Ruzita& Said, Fathin Faizah. The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks. ISRA International Journal of Islamic Finance. 2020. Vol. 12, no. 2, pp.195-215.
https://search.emarefa.net/detail/BIM-1430170
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 213-215
Record ID
BIM-1430170