Guide to Downloading Brokerage Trading Volume Data from Bloomberg

11 Pages Posted: 24 Oct 2022

See all articles by Ben Lourie

Ben Lourie

University of California, Irvine

Devin M. Shanthikumar

University of California, Irvine - Paul Merage School of Business

Il Sun Yoo

University of Hawaii at Manoa - Shidler College of Business

Date Written: October 20, 2022

Abstract

This data guide describes how to obtain the brokerage trading volume data used in Lehmer, Lourie, and Shanthikumar (2022) and Lourie, Shanthikumar, and Yoo (2022), from Bloomberg Terminal. The data is available at the broker-stock-day level, allowing for detailed analyses of brokerage trading volume. This data can be used to better understand the flow of trading volume through different brokerage houses, including examining brokerage trading volume relative to equity analyst research. We provide an overview of the brokerage trading volume data in Bloomberg and explain in detail how to download the brokerage trading volume data, including specific examples.

Keywords: Brokers; Brokerage trading volume; Commissions; Analysts; Bloomberg

JEL Classification: G12, G24, M41

Suggested Citation

Lourie, Ben and Shanthikumar, Devin M. and Yoo, Il Sun, Guide to Downloading Brokerage Trading Volume Data from Bloomberg (October 20, 2022). Available at SSRN: https://ssrn.com/abstract=4254137 or http://dx.doi.org/10.2139/ssrn.4254137

Ben Lourie

University of California, Irvine ( email )

Irvine, CA 92697-3125
United States

Devin M. Shanthikumar

University of California, Irvine - Paul Merage School of Business ( email )

Paul Merage School of Business
SB2 428
Irvine, CA 92697-3125
United States

Il Sun Yoo (Contact Author)

University of Hawaii at Manoa - Shidler College of Business ( email )

2404 Maile Way
Honolulu, HI 96822
United States

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