JSE Top 40 Constituents Daily Price Relatives 2003-2018 (Bloomberg)

Published: 12 May 2019| Version 1 | DOI: 10.17632/3nbgc4cygk.1
Michael Gant,


Daily price relative share price data for the constituents of the JSE Top 40 (as of January 2003) from 2003 to 2018. This data is being used in a working paper titled, Learning Trading Strategy Dynamics (forthcoming). Acknowledgements: Riaz Arbi for his tutorial and presentation on using the Bloomberg Terminal and the Rblpapi R package and his scripts for querying Index constituents and stock prices.


Steps to reproduce

Use the RStudio and the Rblpapi package on a Bloomberg Terminal PC, use the bds() function to obtain the Top 40 tickers at 2003/01/01 and then use the obtained tickers and the bdh() function to request the closing share prices for each share in the given ticker list from 2003 till 2018. Then, for each closing share price, calculate the price relative as the the current share price divided by the previous days closing share price. The first days closing price for each share does not have a previous share days share price and so it is set to 1.


University of Cape Town Department of Statistical Sciences


Statistical Finance, Computational Finance