Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market
The COVID-19 outbreak significantly impacted the Malaysian stock market. To some extent, the Movement Control Order (MCO) implemented in the country affected the financial performance of listed companies. In consequence investors were quite uncertain of future movements of the stock market. Effe...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2021
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| Online Access: | http://journalarticle.ukm.my/17273/ http://journalarticle.ukm.my/17273/1/jeko_55%281%29-6.pdf |
| _version_ | 1848814272307527680 |
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| author | Lee, Kelvin Yong Ming Mohamad Jais, |
| author_facet | Lee, Kelvin Yong Ming Mohamad Jais, |
| author_sort | Lee, Kelvin Yong Ming |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | The COVID-19 outbreak significantly impacted the Malaysian stock market. To some extent, the Movement Control Order
(MCO) implemented in the country affected the financial performance of listed companies. In consequence investors were
quite uncertain of future movements of the stock market. Effective analysis techniques are thus required to study the
market movements. Investors shall rely on signals emitted by technical indicators for their investment decisions making.
The aim of this study is to examine the performance of the MA rules in Malaysian stock market during the different stages
of the MCO. The sample used comprised 30 largest market capitalization stocks listed in the stock market. The period of
study spanned 2 January 2020 to 30 August 2020. More than 50% of the buy signals emitted by (5,60,0.01) were found
linked with positive returns in the next trading day during the MCO and CMCO sub-period respectively. Conversely,
41.28% and 34.78% of the sell signals emitted by (5,50,0.01) during the respective MCO and CMCO sub-period were
linked with negative returns. Among all the MA rules, (5,60,0.01) generated the highest average return of 0.88% during
the MCO and CMCO sub-period. Importantly, MA rules, (5,60,0.01) also generated positive returns during the out-of-sample period. The findings of this study shall contribute to the existing literature related to technical analysis. Besides
that, the findings will benefit investors the most, inducing them to generate returns or avoid losses during the critical
COVID-19 pandemic period. Investors are recommended to take the signals emitted by MA rules as alternative reference
for their investments. Lastly, the relevant organizations should conduct more seminars to inform and enhance analytical
skill of their clients, particularly retail investors. |
| first_indexed | 2025-11-15T00:31:27Z |
| format | Article |
| id | oai:generic.eprints.org:17273 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:31:27Z |
| publishDate | 2021 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:172732021-08-06T02:47:39Z http://journalarticle.ukm.my/17273/ Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market Lee, Kelvin Yong Ming Mohamad Jais, The COVID-19 outbreak significantly impacted the Malaysian stock market. To some extent, the Movement Control Order (MCO) implemented in the country affected the financial performance of listed companies. In consequence investors were quite uncertain of future movements of the stock market. Effective analysis techniques are thus required to study the market movements. Investors shall rely on signals emitted by technical indicators for their investment decisions making. The aim of this study is to examine the performance of the MA rules in Malaysian stock market during the different stages of the MCO. The sample used comprised 30 largest market capitalization stocks listed in the stock market. The period of study spanned 2 January 2020 to 30 August 2020. More than 50% of the buy signals emitted by (5,60,0.01) were found linked with positive returns in the next trading day during the MCO and CMCO sub-period respectively. Conversely, 41.28% and 34.78% of the sell signals emitted by (5,50,0.01) during the respective MCO and CMCO sub-period were linked with negative returns. Among all the MA rules, (5,60,0.01) generated the highest average return of 0.88% during the MCO and CMCO sub-period. Importantly, MA rules, (5,60,0.01) also generated positive returns during the out-of-sample period. The findings of this study shall contribute to the existing literature related to technical analysis. Besides that, the findings will benefit investors the most, inducing them to generate returns or avoid losses during the critical COVID-19 pandemic period. Investors are recommended to take the signals emitted by MA rules as alternative reference for their investments. Lastly, the relevant organizations should conduct more seminars to inform and enhance analytical skill of their clients, particularly retail investors. Penerbit Universiti Kebangsaan Malaysia 2021 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/17273/1/jeko_55%281%29-6.pdf Lee, Kelvin Yong Ming and Mohamad Jais, (2021) Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market. Jurnal Ekonomi Malaysia, 55 (1). pp. 1-12. ISSN 0127-1962 https://www.ukm.my/fep/jem/content/2021-1.html |
| spellingShingle | Lee, Kelvin Yong Ming Mohamad Jais, Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market |
| title | Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market |
| title_full | Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market |
| title_fullStr | Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market |
| title_full_unstemmed | Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market |
| title_short | Effectiveness of moving average rules during COVID-19 pandemic: evidence from Malaysian stock market |
| title_sort | effectiveness of moving average rules during covid-19 pandemic: evidence from malaysian stock market |
| url | http://journalarticle.ukm.my/17273/ http://journalarticle.ukm.my/17273/ http://journalarticle.ukm.my/17273/1/jeko_55%281%29-6.pdf |