What are you going to do next?

They can be arranged in the same sheet without pasting last values. A presence of a LAG between days can be a solution of your work. it depends...

A common method of dealing with different holiday schedules across countries is to carry forward the most recent observation - in R that method has the appellation 'locf' (last observation carried forward). But here's the problem with that method --- if you are developing a trading system, for example, and assume that prices are "tradable", then your analysis will be flawed since you can't trade at a "carried forward price." My solution to this problem is this: create a 'locf' price and as a separate variable, a "tradable price", which when data is missing, is (approximately) the next price you could have realized. When developing your system, you can ONLY use 'locf' prices, but when evaluating P&L you can ONLY use "tradable" prices.

It depends on what you want to study. You probably will end up using returns, not prices in your analysis. In this case it might be sometimes better to delete days when you have returns for only some countries. If you you closing price from previous day, you are imputing zero return. For some analysis this is not a problem, for other it could be a problem. For example, a comovement between markets might seem to be weaker than it is if you do this.

Dear Sulthan,

Hope all is well.

I have written earlier a short document, entitled: Dealing with the Problem of Missing Data: A Short Note.

Please find attached the short note.

Best Regards

Prof. Dr. Mazin A. M. Al Janabi

Full Professor of Finance & Banking and Financial Engineering

Tecnologico de Monterrey, EGADE Business School,

Santa Fe Campus, Mexico City, Mexico.

Dear Sulthan,

It is better to take the values excluding the missing ones. If the missing values are forming pattern, like 2 out of 7 days are missing, it is okay but you need to report it. If the missing values are without a pattern and present data limitation than you better omit the missing values days but should match the days in case of more than one series. Several softwares can also do it for you.