Publication details

Czech PX-TR - Derivation of Historical Data for the Performance Index and Analysis of two Trading Strategies

Authors

REUSE S. SVOBODA Martin

Year of publication 2017
Type Article in Proceedings
Conference FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III
MU Faculty or unit

Faculty of Economics and Administration

Citation
Keywords Price Index; Performance Index; Risk; Return; MACD; Trading Strategy
Description The Czech PX Index is available as a price index since 1993-09-07, the total return index PX-TR is only available since 2006-03-20. This article uses the methodology published from the Czech stock exchange and derives the PX-TR from 1994-04-05 to 2006-03-17. It is the first time this dataset is published. In addition, two trading strategies are tested. We show that these strategies are more efficient than a simple buy and hold strategy.

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