Empirical Results

Abstract

The Trade and Quote (TAQ) database is a collection of intraday trades and quotes for all securities listed on the New York Stock Exchange, American Stock Exchange, NASDAQ and on associated regional exchanges (Boston, Cincinnati, Midwest, Pacific, Philadelphia) and is available at relatively low cost in electronic form on a monthly basis from the New York Stock Exchange Inc. The TAQ data set contains information about the timing of the trades, transaction prices and volumes as well as every revision of best bid and ask prices and corresponding volumes. Furthermore, the TAQ data base contains information related to the conditions under which the trade took place (e.g. whether an order was stopped by the market maker, or whether the transaction calls for delivery and payment on the same trading instead of the usual three day limit) and a correction indicator, that identifies trades that were incorrectly recorded and had to be corrected later on.¹