These statistics are provided as a public service to academics and the practitioner community. No warranty or support is provided.
The tables are built from daily TAQ files using nanosecond precision. The sample consists of all common stocks and ETFs with valid data. For each security day the tables report:
For further methodological details, see Conrad and Wahal (2020)
A market-wide average across common stocks and ETFs respectively is also provided, denoted Stock_Avg and ETF_Avg. The market-wide average is the cross-sectional average across securities, weighted by the dollar volume.
Conrad, Jennifer S., Jin Xiang, and Sunil Wahal, 2015, “High frequency quoting, trading and efficiency of prices”, Journal of Financial Economics 116, 271-291.
Conrad, Jennifer S., and Sunil Wahal, 2020, “The Term Structure of Liquidity Provision”, Journal of Financial Economics 136, 239-259.
Holden, C. and S. Jacobsen, 2014, “Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions”, Journal of Finance 69, 1747-1785.