MACD And Excess Returns: A Study Of Malaysian Stock Market

Hock, Goh Soon (2007) MACD And Excess Returns: A Study Of Malaysian Stock Market. Masters thesis, University of Multimedia.

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Abstract

This study investigate the ability of the Greald Appel\'s Moving Average Convergence-Divergence (MACD) indicator, as filter technique to derive excess returns (ER) over medium period (1 year) from sector of Main Board of Malaysian stock market under the consumption that the trend sector is known. The trading rules used are designed to exploit secondary price fluctuations of the Dow\'s Theory coupled with the sector momentum and positive autocorrelation of price changes.

Item Type: Thesis (Masters)
Subjects: H Social Sciences > HG Finance > HG1710 Electronic Funds Transfers
Divisions: Faculty of Management (FOM) > MBA Programme
Depositing User: Ms Suzilawati Abu Samah
Date Deposited: 19 Jul 2011 03:38
Last Modified: 19 Jul 2011 03:38
URI: http://shdl.mmu.edu.my/id/eprint/1860

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