Leung Chong, T.T. and Ng, W.K. and Sen Liew, V.K. (2014) Revisiting the Performance of MACD and RSI Oscillators. Journal Risk Financial Management, 7. pp. 1-12. ISSN 1911-8074
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Abstract
Chong and Ng (2008) find that the Moving Average Convergence–Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is found that the MACD(12,26,0) and RSI(21,50) rules consistently generate significant abnormal returns in the Milan Comit General and the S&P/TSX Composite Index. In addition, the RSI(14,30/70) rule is also profitable in the Dow Jones Industrials Index. The results shed some light on investors’ belief in these two technical indicators in different developed markets.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | UNIMAS, University Malaysia Sarawak, Relative Strength Index; Trading Rules; Moving Average Convergence–Divergence |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Karen Kornalius |
| Date Deposited: | 28 Mar 2014 01:56 |
| Last Modified: | 26 Jan 2022 01:58 |
| URI: | http://ir.unimas.my/id/eprint/1560 |
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