ClosingAuction
Description
This is for the replication code for Jegadeesh and Wu (2021) on closing auctions. The primary data comes from the NYSE and Nasdaq exchanges. The detailed data information can be found here: https://www.nyse.com/market-data/real-time/imbalances (NYSE Order Imbalances) and https://www.nasdaq.com/solutions/net-order-imbalance-indicator-NEW (Nasdaq Order imbalances).
Files
Steps to reproduce
This is for the replication code for Jegadeesh and Wu (2021) on closing auctions. The primary data comes from the NYSE and Nasdaq exchanges. The detailed data information can be found here: https://www.nyse.com/market-data/real-time/imbalances (NYSE Order Imbalances) and https://www.nasdaq.com/solutions/net-order-imbalance-indicator-NEW (Nasdaq Order imbalances). The raw data was processed daily and merged with CRSP, TAQ dataset.