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Structural Change in the Stock Market Efficiency after the Millennium: The MACD Approach

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Author Info

  • Terence Tai-Leung Chong

    ()
    (The Chinese University of Hong Kong)

  • Chen Li

    ()
    (The Chinese University of Hong Kong)

  • Ho Tin Yu

    ()
    (The Chinese University of Hong Kong)

Abstract

This paper studies the profitability of the Moving Average Convergence-Divergence (MACD) trading rule under three different crossing rules: the MACD zero line, the 9-day and 14-day signal lines. It is found that the trading rules perform well in the stock markets of Germany and Hong Kong. Our research also shows that generally the major stock markets around the world have become more efficient after the millennium.

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File URL: http://www.accessecon.com/pubs/EB/2008/Volume7/EB-08G10011A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 7 (2008)
Issue (Month): 12 ()
Pages: 1-6

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Handle: RePEc:ebl:ecbull:eb-08g10011

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  1. repec:ebl:ecbull:v:7:y:2008:i:7:p:1-7 is not listed on IDEAS
  2. Mills, Terence C, 1997. "Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 319-31, October.
  3. Hudson, Robert & Dempsey, Michael & Keasey, Kevin, 1996. "A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1121-1132, July.
  4. Treynor, Jack L & Ferguson, Robert, 1985. " In Defense of Technical Analysis," Journal of Finance, American Finance Association, vol. 40(3), pages 757-73, July.
  5. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
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Cited by:
  1. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.

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