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

Author

Listed:
  • 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.

Suggested Citation

  • Terence Tai-Leung Chong & Chen Li & Ho Tin Yu, 2008. "Structural Change in the Stock Market Efficiency after the Millennium: The MACD Approach," Economics Bulletin, AccessEcon, vol. 7(12), pages 1-6.
    • Handle: RePEc:ebl:ecbull:eb-08g10011
    as

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    References listed on IDEAS

    as
    1. Treynor, Jack L & Ferguson, Robert, 1985. "In Defense of Technical Analysis," Journal of Finance, American Finance Association, vol. 40(3), pages 757-773, July.
    2. repec:ebl:ecbull:v:7:y:2008:i:7:p:1-7 is not listed on IDEAS
    3. 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.
    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 1731-1764, 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. 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 319-331, October.
    7. 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.
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    Cited by:

    1. repec:ebl:ecbull:v:7:y:2008:i:12:p:1-6 is not listed on IDEAS
    2. 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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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G0 - Financial Economics - - General

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