Adding the Values of Non-Trading Days to Trading Days

[Mustabsar Awais]

Dear Statlisters,

I am working on a large dataset. Where day_status = 1 is trading and 0 is non-trading. Observations are unique by permno and date.

The trading day is when the stock market is open and the non-trading day is when it is closed.

Required: I need to add the values of uc, ic, be_rf and bu_rf of non-trading days to the subsequent trading days by writing a foreach loop. For example, The values of Saturday and Sunday must be added to the values of Monday IF it is a trading day.

Please let me know how can I get the required outcome.

Sample data is here:

* Example generated by -dataex-. To install: ssc install dataex
clear
input double(permno date) byte day_status double uc long ic double(be_rf bu_rf)
10104 18995 1 2 3 0 3
10104 18996 1 1 1 0 1
10104 18997 1 3 5 3 2
10104 18998 1 1 1 0 1
10104 18999 0 5 5 0 5
10104 19000 0 2 2 0 2
10104 19001 1 2 2 0 2
10104 19004 1 4 4 1 3
10104 19005 1 1 2 0 2
10104 19007 0 1 1 0 1
10104 19009 1 3 4 0 4
10104 19010 1 1 1 1 0
10104 19011 1 5 6 1 5
10104 19012 1 2 2 1 1
10104 19013 0 1 1 0 1
10104 19014 0 1 1 0 1
10104 19016 1 2 2 0 2
10104 19017 1 2 2 2 0
10104 19018 1 3 3 0 3
10104 19019 1 1 1 0 1
10104 19022 1 2 2 0 2
10104 19023 1 2 2 1 1
10104 19024 1 2 2 0 2
10104 19025 1 1 1 0 1
10104 19026 1 2 2 2 0
end
format %td date

[William Lisowski]

A loop is perhaps not necessary, if I correctly understand what you want.

gsort permno -date
replace date = date[_n-1] if day_status==0
generate day_count = 1
collapse (sum) day_count uc ic be_rf bu_rf , by(permno date)
list, clean

. list, clean

       permno        date   day_co~t   uc   ic   be_rf   bu_rf  
  1.    10104   03jan2012          1    2    3       0       3  
  2.    10104   04jan2012          1    1    1       0       1  
  3.    10104   05jan2012          1    3    5       3       2  
  4.    10104   06jan2012          1    1    1       0       1  
  5.    10104   09jan2012          3    9    9       0       9  
  6.    10104   12jan2012          1    4    4       1       3  
  7.    10104   13jan2012          1    1    2       0       2  
  8.    10104   17jan2012          2    4    5       0       5  
  9.    10104   18jan2012          1    1    1       1       0  
 10.    10104   19jan2012          1    5    6       1       5  
 11.    10104   20jan2012          1    2    2       1       1  
 12.    10104   24jan2012          3    4    4       0       4  
 13.    10104   25jan2012          1    2    2       2       0  
 14.    10104   26jan2012          1    3    3       0       3  
 15.    10104   27jan2012          1    1    1       0       1  
 16.    10104   30jan2012          1    2    2       0       2  
 17.    10104   31jan2012          1    2    2       1       1  
 18.    10104   01feb2012          1    2    2       0       2  
 19.    10104   02feb2012          1    1    1       0       1  
 20.    10104   03feb2012          1    2    2       2       0

[Mustabsar Awais]

Thanks. It solved my problem.