Before joining finance, my naive assumption was that the market’s high stakes would necessitate accurate, high quality data. In particular, I expected frequently traded stocks and ETFs on public exchanges to have accurately quoted end of day prices. In reality, even those data are noisy.
Yesterday’s (7/16/2009) closing price for SPY is one example. The NYSE reported a composite closing price of 93.11 for SPY, but the intraday price graph makes it clear that 94.15 is much more accurate. Here are two Bloomberg screens showing both the tabulated closing price and the intraday price plot.
Over 200 million shares of SPY trade every business day, yet bad closing prices like this still pop up.
Advertisement
