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Integrating Neurally Enhanced Fundamental Analysis, Technical Analysis and Corporate Governance in the Context of a Stock Market Trading System

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Integrating Neurally Enhanced Fundamental Analysis, Technical Analysis and Corporate Governance in the Context of a Stock Market Trading System Fusion Analysis: Integrating Neurally Enhanced Fundamental Analysis, Technical Analysis and Corporate Governance in the Context of a Stock Market Trading System Safwan Mohd Nor DiA (UiTM), BA (Hons) AFS (UCLan), MFA (LTU), CFTP Thesis submitted in fulfilment of the requirements for the degree of Doctor of Philosophy Finance and Financial Services Discipline Group College of Business Victoria University, Melbourne 2014 Abstract This thesis examines the trading performance of a novel fusion strategy that amalgamates neurally enhanced financial statement analysis (traditional fundamental analysis), corporate governance analysis (new fundamental research) and technical analysis in the context of a full-fledged stock market trading system. In doing so, we build and investigate the trading ability of five mechanical trading systems: (1) (traditional) fundamental analysis; (2) corporate governance analysis; (3) technical analysis; (4) classical fusion analysis (a hybrid of only fundamental and technical rules) and (5) novel fusion analysis (a hybrid of fundamental, corporate governance and technical rules) in an emerging stock market, the Bursa Malaysia. To construct the full-fledged trading systems, we employ a backpropagation algorithm in enhancing buy/sell rules, and also include anti-Martingale (position sizing) and stop loss (risk management) strategies. In providing valid empirical results, we compare the trading performance of each trading system using out-of-sample analysis in the presence of a realistic budget, sample portfolio, short selling restriction, round lot constraint and transaction cost. The effects of data snooping, survivorship and look-ahead biases are also addressed and mitigated. The results show that all the trading systems produce significant returns and are able to outperform the benchmark buy-and-hold strategy. The classical fusion strategy yields the greatest dollar returns over any other strategies and better risk-return tradeoffs over the constituent trading systems. As expected, the novel fusion approach, which uses governance information to complement the classical fusion strategy, yields the best performance. It produces the best key metrics—for example, the highest Sharpe and Sortino ratios, and the lowest maximum percentage drawdown and ulcer index— compared to all other trading systems. The evidence supports the superiority of this novel fusion approach. Overall, the results are in line with the castle in the air and firm foundation theories and are thus inconsistent with the weak and semi-strong forms of the efficient market hypothesis. ii StudentDeclaration I, Safwan Mohd Nor, declare that the PhD thesis entitled Fusion Analysis: Integrating Neurally Enhanced Fundamental Analysis, Technical Analysis and Corporate Governance in the Context of a Stock Market Trading System is no more than 100,000 words in length including quotes and exclusive of tables, figures, appendices, references and footnotes. This thesis contains no material that has been submitted previously, in whole or in part, for the award of any other academic degree or diploma. Except where otherwise indicated, this thesis is my own work. March 2014 SignatureSignature Date iii Acknowledgments This thesis would not have been possible without the support of numerous people. First and foremost, I would like to express my gratitude to my supervisors, Professor Terrence Hallahan and Dr Guneratne Wickremasinghe, for their advice, guidance and support. I also thank Professor Peter Sheehan and Professor Sardar Islam for their comments, suggestions, and for affording me the opportunity to work as a research assistant at the Centre for Strategic Economic Studies. I am grateful to Ms Tina Jeggo for her help in facilitating this study. Thanks also to my fellow PhD students, particularly Dr Siti Nuryanah (who also acts as the university Research Ambassador), for their friendship and the collaborative learning experience. This thesis benefits from my several years of experience as a Bursa Malaysia dealer, where I was licensed by the Securities Commission of Malaysia (SC). I am thankful to Dr Nordin Ngadimun, Manager at the SC and an old acquaintance, who was instrumental in helping me confirm my decision to embark on my career in the finance industry. My appreciation goes to my former employer, Kuala Lumpur City Securities (now Alliance Investment Bank), for whom I had the opportunity to give investment advice and execute trading transactions. Some of the strategies presented in this study were contributed by this experience, and the study itself was partly inspired by research insights provided by our research division and its research partner, Merrill Lynch. The next chapter of my career brought me to the world of academia. I am particularly grateful to Associate Professor Fauziah Abu Hasan and Mrs Fatimah Shahman for successfully persuading me to join the University of Malaysia Terengganu (UMT). This is truly a right career choice, providing me with the lifelong dream to pursue my PhD and with avenues to undertake research in the area of finance. My thanks go to the Ministry of Higher Education, Malaysia, and UMT for their financial support and for giving me the opportunity to further my education at Victoria University, Melbourne, Australia. I also appreciate the help and support from my current and former deans and heads of department at UMT. iv The greatest support undeniably comes from my family. I thank my parents for instilling in me the value of knowledge, their continuous support during my study, and their prayers for my success. I am also grateful to my siblings who have supported me in many ways. Special thanks to my wife, Nur Haiza, who has unfailingly stood by me throughout this long journey with love and patience, and for her numerous contributions to the success of this project, including her constant encouragement and feedback. It is very challenging, but equally rewarding, for us both to be doing our PhDs at the same time. Finally, thanks to my daughter, Alia Zulaikha, to whom this thesis is dedicated, who brings so much happiness and joy to our lives. This thesis was edited by Elite Editing, and editorial intervention was restricted to Standards D and E of the Australian Standards for Editing Practice. v Table of Contents Abstract ............................................................................................................................. ii Student Declaration ......................................................................................................... iii Acknowledgments ............................................................................................................iv Table of Contents .............................................................................................................vi List of Tables ....................................................................................................................xi List of Figures ................................................................................................................ xiii List of Abbreviations ......................................................................................................xiv Chapter 1: Introduction .................................................................................................. 1 1.1 Introduction ......................................................................................................... 1 1.2 Background and Motivation ............................................................................... 2 1.3 Market Efficiency ............................................................................................... 5 1.4 Research Objectives ............................................................................................ 8 1.5 Overview of the Research ................................................................................... 9 1.5.1 List of Trading Systems ............................................................................... 9 1.5.2 Data and Methodology .............................................................................. 10 1.5.3 Context of the Study .................................................................................. 11 1.5.4 Empirical Results ....................................................................................... 12 1.5.5 Contribution and Significance of the Study .............................................. 13 1.6 Structure of the Thesis ...................................................................................... 14 Chapter 2: Literature Review ...................................................................................... 16 2.1 Introduction ....................................................................................................... 16 2.2 Major Trading Strategies .................................................................................. 17 2.2.1 Fundamental Analysis ............................................................................... 18 2.2.1.1 Definition ........................................................................................... 18 2.2.1.2 Strategy in Practice ............................................................................ 19 2.2.1.3 Existing Literature .............................................................................. 19 2.2.2 Corporate Governance Analysis ................................................................ 27 2.2.2.1 Definition ..........................................................................................
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