Requesting monthly data in Datastream – what happens?

In the Time Series Request in Datastream you can choose the frequency. Available options are Daily, Weekly, Monthly, Quarterly and Yearly. What happens when your serie has a daily frequency and you request the data with a monthly frequency? That depends on the datatype you request.

P and MV
When you download the closing price (P) or market value (MV) of an equity with a monthly frequency, you get data for one day of each month. Which day Datastream uses, depends on the start date entered in the request: if the start date is 1/1/2005, you get the P and MV of the first (trading) day of each month. If you enter 1/31/2005 as the start date you get the P and MV of the last trading day of each month.

Be aware: this is not a monthly average – it’s just the data on one particular day of the month.

VO
When you download for example Turnover by volume (VO) Datastream does something else. You don’t get the VO for a particular day of the month – you get a sum of the VO for all days in the month. But which days are used to sum?

An example

We requested  the VO of Google from 1/1/2013 on a monthly basis (no enddate entered). This is the result:

Google monthly 1

In the third column we summed the VO-data for dates from the fourth column to check the data.

Then, we requested the VO of Google from 1/31/2013 until 6/30/2013. This is the result:

Google monthly 2

Again, we checked the sum by adding the daily data. This request is probably what you want if you need monthly data.

So: to know which days were summed, check the date in the first column. The value behind that date is the sum of the days from that date, one month backwards.

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2 thoughts on “Requesting monthly data in Datastream – what happens?

  1. Reblogged this on Business Research Plus and commented:
    Monthly data on WRDS is always the end of the month – with Datastream it depends on the start date you choose – for more detail see the following excellect post from EDSC tips & hints.

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