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.,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.,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.,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.

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马来西亚伊斯兰教法与传统股票相比技术策略的有效性

这项研究旨在基于技术交易策略的有效性，从符合伊斯兰教义的股票和常规股票的角度研究马来西亚股票市场的效率。本研究使用非常规交易策略，将马来西亚交易所分析师的买入建议与从10种选择中产生的卖出信号相结合使用ChartNexus检测到的技术交易策略（简单的移动平均线，移动平均线，布林带，动量，商品通道指数，相对强度指数，随机，威廉姆斯百分比范围，移动平均线趋同发散振荡器和流星）。从2013年1月1日到2015年12月31日期间，总共抽取了125个符合伊斯兰教义的股票的1,265份买入推荐和400股常规股票的买入推荐。研究期延长至2016年3月31日，以提供充足的时间来检测卖出信号，尤其是对于2015年底发布的买入建议。结果，詹森的alpha显示10个策略中有8个有效地产生了异常收益。符合伊斯兰教义的样本在常规样本中只有十分之三有效。技术交易策略在符合伊斯兰教义的股票中的显着有效性暗示着该股票市场相对于传统股票而言明显无效。基于非常规交易策略的结果提供了有关马来西亚股票市场效率的新见解，尤其是在符合伊斯兰教义的股票市场中常规股。