I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation of feeds from a number of exchanges? Or just a couple of exchanges? Assuming that the volume reported by Yahoo Finance is a subset of total volume traded, does anyone have an opinion as to whether or not the figure is representative of what actually trades in a particular day?
Any share can be listed on any exchange. However Yahoo allows you to get the Price Data per exchange. So the Price Data (including volume) you download will be the volume that was traded on the exchange that you have specified to get the Data from. Not an accumulation of exchanges that the company may be listed on. When you type a ticker in google, the exchange is listed after the company name. For example type BHP, an australian company. The exchanges they are listed on show below that, and you can request that data specific to the exchange you are interested in. Hope that helps.