The Validity of Volume Data

Later in this chapter, I will extend our analyses to much longer timeframes, going back many decades. The price series of the New York Stock Exchange (NYSE) Index, in its present form, only goes back to 2003. But the S&P 500 Index has daily data available back to 1950, and it has been reverse-engineered to extend monthly data all the way back to 1871. Both of these indexes are broad-based, mostly large cap, and as such, their price movements over the last seven years have tracked each other reasonably closely. So from here on, I use the S&P 500. However, Standard & Poor’s, the owner of the index, does not provide trading volume data with it. For many years, I constructed a faux volume for the S&P 500 by adding together ...

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