Resources > Institute for the Study of Security Markets (ISSM)

Access

  1. Map the finance lab server as a network drive.
    • Open Windows (File) Explorer
    • Choose Tools
    • Choose Map Network Drive
    • Choose drive Q:, enter path \\FLSERVER\SHARED
    • Check Reconnect at login, click OK

  2. The files can be found in Q:\RESEARCH_DATA\ISSM.

  3. The data is documented in Q:\RESEARCH_DATA\ISSM\Documentation.

  4. Sample SAS input statements, which must be incorporated in a complete SAS program, can be found in Q:\RESEARCH_DATA\ISSM\sas.

  5. Notice that the data has some periods where data is missing although the exchanges were open. The file Q:\RESEARCH_DATA\ISSM\Missing\missing_days shows what days are missing.

Or you can use the Wharton Research Data Service (WRDS)

Overview

The Institute for the Study of Security Markets (ISSM) database contains tick-by-tick data covering the NYSE and AMEX between 1983 and 1992, and NASDAQ between 1987 and 1992. Each year of data is divided into two files, one for trades and one for quotes. Data available under consolidated trades: actual trade per share, trade condition code, originating exchange, present exchange, numbers of shares traded.

Data available under consolidated quotes: bid price, offer price, bid size, offer size, sale condition code, originating exchange, present exchange.