Filtering CRSP Monthly Stocks by Exchange Code

Summary

The note explains how to select NYSE and AMEX securities from CRSP monthly stock data that also contains NASDAQ listings. It identifies the CRSP EXCHCD field as the exchange indicator and says to retain codes 1 and 2 for the requested exchanges.

The guidance is a concise answer to a data selection question rather than a broader discussion of market data. It does not provide the full exchange-code mapping, discuss changes in exchange classification over time, or address special cases in CRSP identifiers. Users should confirm code meanings against the documentation for their CRSP product and sample period before applying the filter.

Key ideas

• CRSP provides an EXCHCD field that identifies a stock's exchange.
• Retaining exchange codes 1 and 2 selects the NYSE and AMEX stocks described in the note.
• Check the relevant CRSP documentation for the complete code mapping and period-specific details.

Tags

# How to download only amex and nyse data from CRSP?


# How to download only amex and nyse data from CRSP?












I am a beginner and I have a very elementary question, but I don't know where to find the answer!

I am downloading the `CRSP` monthly stock files for 20 years. I want to have only `AMEX` and `NYSE` stocks. But I think `CRSP` has all stocks including `NASDAQ`. How can I keep only NYSE and AMEX and delete any other markets from the data? Is there any indicator which shows which stock is traded in which market?

## Answer by phdstudent (score 5, accepted)

https://quant.stackexchange.com/a/39499

On the `CRSP` database, for each stock there is a field called `EXCHCD`. This field will indicate you the exchange. Here are the exchange codes:

So if you keep only the stocks with codes 1 and 2 you should be good to go.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.