CRSP Index History Intraday

CRSP Index History Intraday (available via WRDS) include second-by-second levels of CRSP’s investible Equity Indexes and End of Day levels.

This product, generated by the investable CRSP Indexes, provides additional market data for scholarly research. The introductory time series provides the base for future product expansion, including additional index data as well as index holdings, Intraday, and end-of-day security data.

- Market Capitalization, Value/Growth, and Sector Index families
- Second-by-second, End-of-Day Price and Total Returns levels
- Flexible delivery and access options through web queries, the WRDS cloud and WRDS client server using PC SAS, Matlab, Stata, R, and Python, among many others
- Histories for indexes begin at different dates, tied to when the data was captured, not always to the date when indexed to 1000

* You need to create an account in order to use WRDS. Please follow the link above and click "Register for a WRDS Account".

Social Sciences DataLab © 2020