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