REUSE, S. and Martin SVOBODA. Czech PX-TR - Derivation of Historical Data for the Performance Index and Analysis of two Trading Strategies. Online. In Culik, M. FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III. OSTRAVA: VSB-TECH UNIV OSTRAVA, 2017, p. 723-731. ISBN 978-80-248-4138-0.
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Basic information
Original name Czech PX-TR - Derivation of Historical Data for the Performance Index and Analysis of two Trading Strategies
Authors REUSE, S. (276 Germany) and Martin SVOBODA (203 Czech Republic, belonging to the institution).
Edition OSTRAVA, FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III, p. 723-731, 9 pp. 2017.
Publisher VSB-TECH UNIV OSTRAVA
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50206 Finance
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form electronic version available online
RIV identification code RIV/00216224:14560/17:00113829
Organization unit Faculty of Economics and Administration
ISBN 978-80-248-4138-0
ISSN 2336-162X
UT WoS 000508278200089
Keywords in English Price Index; Performance Index; Risk; Return; MACD; Trading Strategy
Changed by Changed by: Mgr. Daniela Marcollová, učo 111148. Changed: 11/5/2020 13:26.
Abstract
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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