Hi allI am in the process of creating a dataset for a behavioral finance paper i am preparing.I need to get NYSE/AMEX Market Trading Volume on a daily and monthly basis (how many stocks were traded in NYSE/AMEX in total for the day/month)I also need NYSE/AMEX listed companies Market Values for each individual company in my dataset.Unfortunately i searched CRSP that supposedly has this kind of data, but i couldnt find the variables i need. I could only find returns and market value for the NYSE/AMEX but no volume, and i couldnt find the Market Value for the companies i wanted.Any ideas or suggestions would be greatly appreciated.Yannis

you can use bloomberg to get the historical prices and number of shares available then calculate the market value yourself. Daily Volume information is available through yahoo finance's historical information though there may be easier methods if you have to cover a large number of securities. Using awk and curl can speed it along nicely.