Stock market efficiency and the MACD. Evidence from countries around the world

摘要

This paper assesses the state of informational efficiency in stock markets of 75 countries around the world by empirically evaluating the economically relevance of a very popular technical analysis indicator, namely the Moving Average Convergence Divergence. There are many published papers that evaluate market efficiency around the world, but none looks at as many countries as this one does. In total, 1336 companies are selected in the sample, with temporal data starting January 1st 2001 and ending December 31, 2012. The methodology used here is based on trading simulation using an optimized trading rule that is applied on out of sample quotes. To be in accordance with the latest guidelines in the field, several statistical tests, including a bootstrap based one, are performed to validate the estimators, thus ensuring bias-free results and more relevant conclusions. Several important statements can be made based on the obtained results, the most important being that traders using the MACD as an technical analysis investment method on the stock market could some times and for certain companies obtain abnormal cost and risk adjusted returns, this pointing out that the world's stock markets present important inefficiencies.