Revisiting the Performance of MACD and RSI Oscillators
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...
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Journal Risk Financial Management
2014
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| オンライン･アクセス: | http://ir.unimas.my/id/eprint/1560/1/Revisiting.pdf http://ir.unimas.my/id/eprint/1560/ http://www.mdpi.com/journal/jrfm |
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my.unimas.ir.15602022-01-26T01:58:54Z http://ir.unimas.my/id/eprint/1560/ Revisiting the Performance of MACD and RSI Oscillators Leung Chong, T.T. Ng, W.K. Sen Liew, V.K. HB Economic Theory 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. Journal Risk Financial Management 2014 Article NonPeerReviewed text en http://ir.unimas.my/id/eprint/1560/1/Revisiting.pdf 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 http://www.mdpi.com/journal/jrfm |
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Centre for Academic Information Services (CAIS) |
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Malaysia |
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Universiti Malaysia Sarawak |
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| language |
English |
| topic |
HB Economic Theory |
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HB Economic Theory Leung Chong, T.T. Ng, W.K. Sen Liew, V.K. Revisiting the Performance of MACD and RSI Oscillators |
| description |
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. |
| format |
Article |
| author |
Leung Chong, T.T. Ng, W.K. Sen Liew, V.K. |
| author_facet |
Leung Chong, T.T. Ng, W.K. Sen Liew, V.K. |
| author_sort |
Leung Chong, T.T. |
| title |
Revisiting the Performance of MACD and RSI Oscillators |
| title_short |
Revisiting the Performance of MACD and RSI Oscillators |
| title_full |
Revisiting the Performance of MACD and RSI Oscillators |
| title_fullStr |
Revisiting the Performance of MACD and RSI Oscillators |
| title_full_unstemmed |
Revisiting the Performance of MACD and RSI Oscillators |
| title_sort |
revisiting the performance of macd and rsi oscillators |
| publisher |
Journal Risk Financial Management |
| publishDate |
2014 |
| url |
http://ir.unimas.my/id/eprint/1560/1/Revisiting.pdf http://ir.unimas.my/id/eprint/1560/ http://www.mdpi.com/journal/jrfm |
| _version_ |
1724078404889739264 |
| score |
13.251813 |