Analisis Teknikal dan Implikasinya terhadap Kecekapan Pasaran Saham di Malaysia
Techinal Analysis and Its Implication on Efficiency of Stock Market in Malaysia

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

ruzitaar@ukm.edu.my

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

ezhano91@gmail.com

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

shifa@ukm.edu.my

Abstract

The main objective of this study is to re-examine the efficiency of Malaysia stock market by applying technical analysis trading strategies. The market efficiency is tested based on the returns generated from the implementation of buy signals obtained through the combined indicators of Bollinger Band and Exponential Moving Average 200, and sell signals detected from six technical indicators; Bollingger Upper and Middle Bands, Simple Moving Average, Relative Strength Index, Stochastic, and Moving Average Convergence Divergence. These signals are detected using RHB Trade Smart which is one of the contemporary technical analysis softwares. Applying RHB Trade Smart on all common shares listed on Bursa Malaysia from 1 January 2015 to 31 August 2015 yields a sample of 123 buy signals. This study limits detection of buy signals to 31 August to allow ample time (2 months) for finding a match for each of the buy signals with at least one sell signal from the six technical indicators. This approach results in all buy signals being matched with sell signals from all the six technical indicators, with one exception involving Moving Average indicator. Overall, this study finds the net returns (after transaction costs) on each of the technical indicator are abnormal. Economically, each technical indicator generates at least 13 percent per 21-day transaction month (equivalent to 156% per annum). Statistically, these returns are also significantly different from zero. Findings of this study lend a strong support to earlier evidence that stock market in Malaysia is still inefficient in the weak form. This finding may be explained with the lack of active participation among investors in the stock market, particularly those who possess the skills to exploit the market using sophisticated technology (technical analysis softwares) to predict movement in stock prices.

Keywords

abnormal return; Malaysian stock market; RHB Trade Smart; stock market efficiency; Technical analysis
http://dx.doi.org/10.17576/pengurusan-2016-48-01

Citation

Abdul-Rahim, R., Arizan, A. T., & Mohd Nor, S. M. (2016). Analisis Teknikal dan Implikasinya terhadap Kecekapan Pasaran Saham di Malaysia. Jurnal Pengurusan, 48, 3–20. http://dx.doi.org/10.17576/pengurusan-2016-48-01

@article{abdulrahim2016analisis,
  title={Analisis Teknikal dan Implikasinya terhadap Kecekapan Pasaran Saham di Malaysia},
  author={Abdul-Rahim, Ruzita and Arizan, Azhan Taqiyaddin and Mohd Nor, Shifa},
  journal={Jurnal Pengurusan},
 

volume={48},
  number={},
  pages={3—20},
  year={2016},
  doi={http://dx.doi.org/10.17576/pengurusan-2016-48-01},
  publisher={Penerbit UKM},
}

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48 (2016) 3 – 20

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