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

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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Year of publication:	2008
Authors:	Chong, Terence Tai-Leung ; Li, Chen ; Yu, Ho Tin
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 7.2008, 12, p. 1-6
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G1 - General Financial Markets ; G0 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005110776