Moving Average Convergence-Divergence (MACD) Trading Rule: An Application in Nepalese Stock Market "NEPSE"

There are two types of analysis done for a stock market. One is fundamental analysis, where an investor looks at an intrinsic value of the stock, and another is technical analysis, where investors determine the future trend of the market looking at the current pattern or trend of the market. This paper is focused on one of the technical analysis tools, i.e., Moving Average Convergence-Divergence. It is a tool based on the three exponential moving average (9-12-26 EMA Rule). The MACD analysis, with the help of a single line, was helpful to find out the exact bullish and the bearish trend of the Nepse. A signal line is a benchmark to determine the stock market moving either to a bullish or bearish trend. It can help an investor, where the market is going in a direction. A market convergence, divergence, and crossover were better identified with the help of the MACD histogram. The paper found that the Nepse return was stable for a very minimal period from 1998-99 to 2019-20. The shift from the bullish to bearish or vice-verse were seen easily identified with the help of a MACD histogram. Finally, a better-combined knowledge of moving average and candlestick chart analysis will help an investor, to put a clear picture of a market trend with the help of MACD analysis.

Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis

Severe swings among the financial markets’ linkages in the recent past motivate the research to examine the exchange rate co-movements. Therefore, this study examines the interdependence and contagion among the exchange rates of five important Asian emerging markets, namely Indonesia, Malaysia, Philippines, Singapore and Thailand exploring the multifarious nature of interdependence and lead lag association using discrete and continuous wavelet decomposition. The findings show the co-movement among many exchange rate pairs showing a substantial increase during the global financial crisis. There are moderate rises in co-movements, indicating regional market convergence in the long run. Singapore seems to hold driving position and Indonesia falls behind in all exchange rate pairs of the ASEAN-5. The findings provide policy implications for caring the interdependence in foreign exchange markets.

The Making of a National Currency: Spatial Transaction Costs and Money Market Integration in Spain (1825–1874)

This article analyzes the integration of the Spanish money market in the nineteenth century. We use a Band-Threshold Autoregression model of prices of bills-of-exchange in ten cities to measure market convergence and efficiency in 1825–1875. While price gaps generally decreased during the period, progress in efficiency was limited to a small group of cities. We suggest that convergence was associated to the reduction in transaction costs, which started well before the railways through improvements in roads and postal services. By contrast, the heterogeneous behavior of efficiency might be associated to economic geography changes and their effects on monetary leadership.

Detecting capital market convergence clubs

In this study, we propose a new method to find convergence clubs that combine pairwise method of testing convergence with maximal clique algorithm. Unlike many of those already developed in the literature, this new method aims to find convergence clubs endogenously without depending on priori classifications. We use our method to study convergence among different capital markets as captured by their respective indices. Stock market convergence would indicate the absence of arbitrage opportunities in moving between the different markets as they would all present investors with similar risks. Furthermore, stock market convergence would be a precursor to GDP convergence as these economies would be bound by similar (possibly unobservable) common factors that affect long run macroeconomic performance.