Revisiting the Performance of MACD and RSI Oscillators

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: E-Article
Additional Information: Universiti Malaysia Sarawak, UNIMAS
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
Depositing User: Karen Kornalius
Date Deposited: 28 Mar 2014 01:56
Last Modified: 10 Mar 2015 01:40
URI: http://ir.unimas.my/id/eprint/1560

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