Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178542
Authors: 
Chong, Terence Tai-leung
Ng, Wing-kam
Liew, Venus Khim-sen
Year of Publication: 
2014
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 7 [Year:] 2014 [Issue:] 1 [Pages:] 1-12
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.
Subjects: 
relative strength index
trading rules
moving average convergence–divergence
JEL: 
F31
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
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