st: calculating return of stocks - problem with weekends

[Kit Baum <baum@bc.edu>]

sacrificial lamb

Tobias said, given his firm-level daily stock price data,

. sort   nummer  daily

. tsset  nummer daily

  gen redite = f/l.f-1

The problems are the weekends. For example at the 26.12.2005 STATA  
doesn’t
calculate the return.


Tobias should create a dummy variable avail (allowing for prices to  
be either zero or missing on non-market days)

gen avail = f>0 & f<.
bysort nummer daily: gen tradingday=_n if avail

That should create a sequential day variable for only market days  
that counts the market days.

tsset tradingday nummer
g return = log(f/L.f)

That should work on the market days available for each firm.

If you want to revert the data to the prior organization with  
weekends and holidays interspersed, just use

tsset nummer daily

The essence of the trick here (which we could describe as  
'Drukkering' the time series) is laid out in Stata Tip 40, "Taking  
care of business" (insert appropriate MP3 file),
http://econpapers.repec.org/article/tsjstataj/ 
v_3a7_3ay_3a2007_3ai_3a1_3ap_3a137-139.htm

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html



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