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