nyse

Source: R/nyse.R

Wooldridge Source: These are Wednesday closing prices of value-weighted NYSE average, available in many publications. I do not recall the particular source I used when I collected these data at MIT. Probably the easiest way to get similar data is to go to the NYSE web site, www.nyse.com. Data loads lazily.

data('nyse')

Format

A data.frame with 691 observations on 8 variables:

  • price: NYSE stock price index

  • return: 100*(p - p(-1))/p(-1))

  • return_1: lagged return

  • t:

  • price_1:

  • price_2:

  • cprice: price - price_1

  • cprice_1: lagged cprice

Source

https://www.cengage.com/cgi-wadsworth/course_products_wp.pl?fid=M20b&product_isbn_issn=9781111531041

Used in Text

pages 388-389, 407, 436, 438, 440-441, 442, 663-664

Examples

 str(nyse)

#> 'data.frame':	691 obs. of  8 variables:
#>  $ price   : num  49.8 51.4 52 52.3 54.2 ...
#>  $ return  : num  NA 3.397 1.186 0.442 3.749 ...
#>  $ return_1: num  NA NA 3.397 1.186 0.442 ...
#>  $ t       : int  1 2 3 4 5 6 7 8 9 10 ...
#>  $ price_1 : num  NA 49.8 51.4 52 52.3 ...
#>  $ price_2 : num  NA NA 49.8 51.4 52 ...
#>  $ cprice  : num  NA 1.69 0.61 0.23 1.96 ...
#>  $ cprice_1: num  NA NA 1.69 0.61 0.23 ...
#>  - attr(*, "time.stamp")= chr "25 Jun 2011 23:03"