CRSP Index History Intraday

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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

Masters and PhD students may register for an account on the WRDS website. Students will then need to wait to be verified before access is granted by the system. When registering always use your university email account. Once your account is verified you may access this resource remotely.

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