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

  • 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)

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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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. Treynor, Jack L & Ferguson, Robert, 1985. " In Defense of Technical Analysis," Journal of Finance, American Finance Association, vol. 40(3), pages 757-73, July.
  2. repec:ebl:ecbull:v:7:y:2008:i:7:p:1-7 is not listed on IDEAS
  3. Terence Tai-Leung Chong & Sheung Tat Chan, 2008. "Structural Change in the Efficiency of the Japanese Stock Market after the Millennium," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-7.
  4. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
  5. 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.
  6. Terence Tai-Leung Chong & Wing-Kam Ng, 2008. "Technical analysis and the London stock exchange: testing the MACD and RSI rules using the FT30," Applied Economics Letters, Taylor & Francis Journals, vol. 15(14), pages 1111-1114.
  7. 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.
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