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

Chen Li (), Ho Tin Yu () and Terence Tai Leung Chong ()
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Chen Li: The Chinese University of Hong Kong
Ho Tin Yu: The Chinese University of Hong Kong

Economics Bulletin, 2008, vol. 7, issue 12, pages 1-6

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.

Keywords: Moving Average Convergence-Divergence; Signal Line; Market Efficiency. (search for similar items in EconPapers)
JEL-codes: G1 G1 (search for similar items in EconPapers)
Date: 2008-08-29
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