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Terence Tai-Leung Chong, Chen Li and Ho Tin Yu
''Structural Change in the Stock Market Efficiency after the Millennium: The MACD Approach''
( 2008, Vol. 7 No.12 )
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.
Manuscript Received : Jun 02 2008 Manuscript Accepted : Aug 29 2008

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