The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks

IF 2.8 Q2 BUSINESS, FINANCE ISRA International Journal of Islamic Finance Pub Date : 2020-07-16 DOI:10.1108/ijif-08-2018-0092
Pick-Soon Ling, Ruzita Abdul-Rahim, F. Said
{"title":"The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks","authors":"Pick-Soon Ling, Ruzita Abdul-Rahim, F. Said","doi":"10.1108/ijif-08-2018-0092","DOIUrl":null,"url":null,"abstract":"\nPurpose\nThis study aims to investigate Malaysian stock market efficiency from the view of Sharīʿah-compliant and conventional stocks based on the effectiveness of technical trading strategies.\n\n\nDesign/methodology/approach\nThis 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 Sharīʿah-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.\n\n\nFindings\nThe resulting Jensen’s alpha show 8 out of 10 strategies are effective in generating abnormal returns in Sharīʿah-compliant samples while only 3 out of 10 strategies are effective in conventional samples. Prominent effectiveness of technical trading strategies in Sharīʿah-compliant stocks implies clear inefficiency in that stock market segment as opposed to those of the conventional stocks.\n\n\nOriginality/value\nThe results based on unconventional trading strategies provide new insights of Malaysian stock market efficiency especially in Sharīʿah-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.\n","PeriodicalId":54072,"journal":{"name":"ISRA International Journal of Islamic Finance","volume":" ","pages":""},"PeriodicalIF":2.8000,"publicationDate":"2020-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/ijif-08-2018-0092","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ISRA International Journal of Islamic Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/ijif-08-2018-0092","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 5

Abstract

Purpose This study aims to investigate Malaysian stock market efficiency from the view of Sharīʿah-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 Sharīʿah-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 Sharīʿah-compliant samples while only 3 out of 10 strategies are effective in conventional samples. Prominent effectiveness of technical trading strategies in Sharīʿah-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 Sharīʿah-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.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
马来西亚Sharīʿah与常规库存技术战略的有效性
本研究的目的是基于技术交易策略的有效性,从符合沙尔卡的股票和传统股票的角度来研究马来西亚股票市场的效率。本研究采用非传统的交易策略,将马来西亚交易所分析师的买入建议与10种选定的技术交易策略(简单移动平均线、移动平均线、布林带、动量、商品通道指数、相对强弱指数、随机、威廉姆斯百分比范围、移动平均趋同发散振荡器和流星)产生的卖出信号混合在一起,这些技术交易策略是使用ChartNexus检测到的。从2013年1月1日至2015年12月31日期间,产生了一个总样本,包括1265条买入建议,其中125只股票符合《shari - allah》,400条买入建议是传统股票。研究期限延长至2016年3月31日,以提供充足的时间来检测卖出信号,特别是2015年底发布的买入建议。结果詹森alpha显示10个策略中有8个在符合shari - tah的样本中有效产生异常回报,而10个策略中只有3个在传统样本中有效。技术交易策略在符合《沙尔尕尔法》的股票中具有突出的有效性,这意味着与传统股票相比,该股票市场的效率明显低下。基于非常规交易策略的结果提供了马来西亚股票市场效率的新见解,特别是在符合shari - tah的股票和传统股票中。这篇论文提供了关于市场效率的更有力的发现,因为公司的股权水平数据与分析师从马来西亚证券交易所买入的建议集中在一起。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
3.40
自引率
17.40%
发文量
18
审稿时长
20 weeks
期刊介绍: It is the aspiration of the editorial committee that IJIF achieves the highest rank in quality and substance. It is thus our aim that the journal be carried in the Thompson Reuters’ ISI and Scopus databases. By ensuring high standards in articles published in Islamic finance we ensure that further innovation and research is carried out and promoted in the Islamic finance industry and academia. IJIF publishes 2 issues per annum.
期刊最新文献
Exploration of a New Zakat Management System Empowered by Blockchain Technology in Malaysia Legal Challenges in Establishing the Islamic Capital Market in Uzbekistan Lack of Profit-and-Loss Sharing Contracts in Moroccan Islamic Banks: An Investigation During the Coronavirus Pandemic Maqāṣid Entrepreneurial Finance: An Islamic Approach to Small Business Capital Structure Theory Investor Sentiments, the COVID-19 Pandemic and Islamic Stock Return Volatility in Indonesia
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1