Analisis Teknikal dan Implikasinya Terhadap Kecekapan Pasaran Saham di Malaysia
ABSTRAK Objektif utama kajian ini adalah untuk menguji semula kecekapan pasaran saham di Malaysia dengan mengaplikasikan strategi urusniaga analisis teknikal. Kecekapan pasaran diuji berdasarkan keuntungan yang dijana daripada penggunaan isyarat beli yang diperoleh daripada gabungan indikator teknikal Bollinger Band (BB) dan Exponential Moving Average 200 (EMA200) serta isyarat jual yang diperoleh daripada enam indikator teknikal; Bollingger Upper dan Middle Band, Simple Moving Average, Relative Strength Index, Stochastic, dan Moving Average Convergence Divergence. Isyarat isyarat ini dikesan menggunakan RHB Trade Smart yang merupakan salah satu perisian kontemporari analisis teknikal. Aplikasi RHB Trade Smart terhadap semua saham yang tersenarai di Bursa Malaysia daripada 1 Januari 2015 hingga 31 Ogos 2015 telah menghasilkan satu sampel 123 isyarat beli. Tempoh pengesanan isyarat beli dihadkan sehingga 31 Ogos untuk memberi ruang selama 2 bulan bagi memastikan setiap isyarat beli dapat dipadankan dengan sekurang kurangnya satu isyarat jual yang dikenalpasti daripada enam indikator teknikal tersebut. Hasilnya, kesemua isyarat beli memperoleh padanan isyarat jual daripada keenam enam indikator teknikal kecuali satu yang melibatkan indikator Moving Average. Secara keseluruhan, kajian mendapati pulangan bersih (selepas ditolak kos transaksi) daripada setiap indikator teknikal adalah abnormal. Secara ekonomi, setiap indikator teknikal menghasil sekurang kurangnya 13 peratus per 21 hari bulan transaksi (bersamaan 156% per tahun) Secara statistik, pulangan ini berbeza daripada sifar secara signifikan. Dapatan kajian ini mengukuhkan lagi bukti bahawa pasaran saham di Malaysia masih belum mencapai tahap kecekapan pada tahap lemah. Keadaan ini mungkin boleh dijelaskan dengan kurangnya penglibatan pelabur aktif dalam pasaran saham, khususnya yang mampu mengeksploitasi kecanggihan teknologi (perisian analisis teknikal) untuk membuat ramalan dan mengambil peluang dari perubahan dalam pasaran saham. Kata kunci: Analisis teknikal; RHB Trade Smart; pulangan abnormal; kecekapan pasaran saham; pasaran saham Malaysia ABSTRAK 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: Technical analysis; RHB Trade Smart; abnormal return; stock market efficiency; Malaysian stock market