Market efficiency and technical analysis during different market phases: further evidence from Malaysia
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Author(s)Safwan Mohd NorLink to ORCID Index: https://orcid.org/0000-0003-0791-2363
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Guneratne WickremasingheLink to ORCID Index: https://orcid.org/0000-0001-6946-0660
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DOIhttp://dx.doi.org/10.21511/imfi.14(2-2).2017.07
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Article InfoVolume 14 2017, Issue #2 (cont. 2), pp. 359-366
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Creative Commons Attribution-NonCommercial 4.0 International License
The profitability of simple technical trading rules remains an interesting topic and has been thoroughly explored in the literature. In this paper, the authors investigate the profitability of two popular moving average (MA) rules in the Bursa Malaysia before, during and after the global financial crisis (GFC) of 2008-2009. Using variable length MA (VMA) and fixed length MA (FMA) technical rules, the authors explore if there were differences in their performance during the different market phases, and if swing traders can gain by trading on the basis of these strategies. When practical trading constraints are considered, the authors find that MA rules performed differently during the three market phases. Over time, the forecasting powers of these rules have diluted and they have performed poorly in the most recent subsample. The findings suggest that the Malaysian stock market is gradually becoming more efficient. This outcome can be attributed to the technological advancements and widespread use of exchange traded funds.
- Keywords
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JEL Classification (Paper profile tab)G11, G14, G17
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References26
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Tables3
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Figures0
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- Table 1. VMA and FMA trading performance before the global financial crisis (2005–2007)
- Table 2. VMA and FMA trading performance during the global financial crisis (2008–2009)
- Table 3. VMA and FMA trading performance after the global financial crisis (2010–2013)
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The impact of foreign ownership on corporate governance: evidence from an emerging market
Rawan Shubita , Moade Fawzi Shubita
doi: http://dx.doi.org/10.21511/imfi.16(2).2019.09
Investment Management and Financial Innovations Volume 16, 2019 Issue #2 pp. 101-115 Views: 2059 Downloads: 314 TO CITE АНОТАЦІЯThis research explores the influence of foreign ownership on non-financial public shareholding firms in the Amman Stock Exchange (ASE). The study involved an investigation into the connection between non-Jordanian ownership and the company growth opportunity, stock liquidity, leverage, dividend policy and business output. The results highlight that foreign ownership can provide improved corporate governance practices by playing a decisive role in increasing the growth opportunity and enhancing the firms’ market valuation, as measured by Tobin’s Q. Moreover, the findings indicate that companies with foreign board membership have better operating performance and higher firm value. The rewards were reaped by foreign investors based on their superior monitoring ability, which affects the decisions made and actions taken by management.
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Fund performance-flow relationship and the role of institutional reform
Jinyu Feng ,
Wenzhao Wang
doi: http://dx.doi.org/10.21511/imfi.15(1).2018.26
Investment Management and Financial Innovations Volume 15, 2018 Issue #1 pp. 311-327 Views: 1951 Downloads: 226 TO CITE АНОТАЦІЯExtant literature shows the positive impact of institutional development on investor rationality and market efficiency. The authors extend this evidence by investigating the performance-flow relationship in the Chinese mutual fund market before and after the enforcement of the revised Law of the People’s Republic of China on Securities Investment Fund. Empirical evidence reveals that Chinese investors irrationally chase past star performers before institutional reform, but gradually become rational and less obsessed with star-chasing behaviors after reform. Moving one percentile upward in the relative performance among the star funds is associated with money inflows by 0.532% after reform, much lower than 1.433% before reform. The findings confirm the positive influence of institutional development on investor rationality and market efficiency. The successful experience can be borrowed by other emerging markets with less developed institutions.
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Machine learning applied in the stock market through the Moving Average Convergence Divergence (MACD) indicator
Alberto Antonio Agudelo Aguirre ,
Ricardo Alfredo Rojas Medina ,
Néstor Darío Duque Méndez
doi: http://dx.doi.org/10.21511/imfi.17(4).2020.05
Investment Management and Financial Innovations Volume 17, 2020 Issue #4 pp. 44-60 Views: 1942 Downloads: 635 TO CITE АНОТАЦІЯThe implementation of tools such as Genetic Algorithms has not been exploited for asset price prediction despite their power, robustness, and potential application in the stock market. This paper aims to fill the gap existing in the literature on the use of Genetic Algorithms for predicting asset pricing of investment strategies into stock markets and investigate its advantages over its peers Buy & Hold and traditional technical analysis. The Genetic Algorithms strategy applied to the MACD was carried out in two different validation periods and sought to optimize the parameters that generate the buy-sell signals. The performance between the machine learning-based approach, technical analysis with the MACD and B&H was compared. The results suggest that it is possible to find optimal values of the technical indicator parameters that result in a higher return on investment through Genetic Algorithms, beating the traditional technical analysis and B&H by around 4%. This study offers a new insight for practitioners, traders, and finance researchers to take advantage of Genetic Algorithms for trading rules application in forecasting financial asset returns under a more efficient and robust methodology based on historical data analysis.
