Trading days of stock markets?
Posted: 31 July 2012 10:47 AM   [ Ignore ]
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Joost and everyone here,

If i summerize the date information from CRSP DSF file. I should be able to get all the trading dates stock market.

However I am not sure if this is an efficient way to do this.

Any comment is weclomed on this topic.

Thanks!

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Zenghui
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Posted: 31 July 2012 11:31 AM   [ Ignore ]   [ # 1 ]
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hi Zenghui,

How about: proc sql; create table tradingDays as select dinstinct caldt from crsp.dsix; quit;

dsix contains stock returns for indices (so it is small) and would only have returns for trading days. (please verify, though)

best regards,

Joost

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Posted: 12 August 2012 02:16 PM   [ Ignore ]   [ # 2 ]
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Hi Joost,

The trading dates are summerized as your suggested successfully, Thanks a lot!!!

I noticed in the restatement example:

we have:
prevday=INTNX(‘Day’,press_date,-1,‘B’);
nextday=INTNX(‘Day’,press_date,+1,‘B’);

I wonder if we need to keep the event window ( 3 days ) on the trading days… If the event is on friday, then the event window will be thursday, friday and the next monday, Am i correct?

If yes, then the above lines are not good enough for friday and monday events… right?

Thanks for the discussions.

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Zenghui
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Posted: 12 August 2012 07:19 PM   [ Ignore ]   [ # 3 ]
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hi Zenghui,

Glad it worked; intnx does not take trading days into account.

If you would select all trading days from dsix, and number them (1, 2, 3, ...), then you can take -1 and +1 around the number that corresponds with a trading day. That seems to be the appropriate way to deal with Fridays, Mondays, around holidays, etc.

best regards,

Joost

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