Australian stock index returns (daily or monthly) - a question

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D1984
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Australian stock index returns (daily or monthly) - a question

Post by D1984 » Sun Oct 24, 2021 10:27 am

Just a quick question for any Aussies we might have on this board (or anyone else who might have access to this kind of info):

Do you know of any source for Australian stock return data (i.e. TR with dividends reinvested) or even just price-only data (i.e. just the share price of the index with no dividends reinvested) with daily values--or at least with end-of month values (i.e. on the 31st of January, 28th of February, 31st of March, 30th of April, 31st of May, etc...or whatever the closing date was for a given month if the actual last day happened to be a Saturday or Sunday) for any time before mid-1963?

The Sydney Stock Exchange All-Ordinaries Index (which is a market cap weighted price-only index of all the large stocks--including industrials, financials, and miners--on the exchange and which covers about 93% of total Australian market cap including pretty much all the large-cap and mid-cap stocks) ostensibly goes back to June or July 1936 with daily values but I have only been able to find data for it back either to mid-1963 (month-end closing values) or 12-31-1979 (daily values).

Stooq has monthly values from 1875 to 1979 taken (presumably) from Robert Officer's (1989) and Donald Lamberton's (1958 and 1961) studies but as far as I can tell these are monthly averages and not actual end-of-month values.

OECD also has "monthly" data for Australian share prices going back to 1-1-1958 but again, if you read their methodology you find out that their data is in fact just a monthly mid-month average for each month...and it doesn't even 100% match the Stooq data mentioned above!

I don't even need the data back to 1936 (although that'd be really nice)....but is their any way to obtain the actual end-of-month value (or even daily values for all 250 or so trading days of the year) data for, say, the period from 1954 or 1955 to mid-1963? Does anyone know of any source for this data?

PS - If Xan or any other moderators feel this would better belong in the "Other Discussions" or "Stocks" section please feel free to move it there.
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Hal
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Re: Australian stock index returns (daily or monthly) - a question

Post by Hal » Sun Oct 24, 2021 5:59 pm

Hmm..

Don't know of any specific compiled source, but you could try going to the Internet Archives site and have a look at some old Australian newspapers stock market pages. The site is down for maintenance at the moment so can't check further.
https://web.archive.org/web/*/newspapers
https://www.nma.gov.au/defining-moments ... k-exchange
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