Financial Data – Freely Available Data Sources
On this page you can find free resources on the internet that provide relevant financial data such as stock market prices ,historical returns of stock indices and ETFs, inflation data and more. In addition to the link to the website where the data can be downloaded, there is a compact description of what the data contains and in which format (e.g. csv file) it is provided. There are also links to all the blog posts of GuidingData that use the corresponding data. The list will continue to grow over time. Let me know if you have any other exciting data sources.
Financial Data on Stocks, Bonds and ETFs
There are numerous sources on the internet that provide data on the price trends of stocks and ETFs for download or via an API:
ETFs are often based on MSCI indices. Probably the best known examples are the MSCI World or the MSCI ACWI (All Countries World Index). In addition, MSCI offers indices that target specific regions, e.g. MSCI Europe, or track specific factors, e.g. MSCI World Small Cap with companies of small market capitalization, or MSCI World Value with companies that have a favorable valuation in terms of their fundamentals (e.g. earnings, book value). Depending on the index, the data extends back into the past to varying degrees; for the MSCI World, for example, the historical price data begins in 1969.
MSCI provides the data on their webpage. In addition to the period and currency, the interval (daily, monthly, yearly) and the form of the index (e.g. TR = Total Return, i.e. with dividends, or PR = Price Return, i.e. the pure price development without dividends) can be set. After configuring the parameters, the data can be downloaded as a csv file. The data can then be used to calculate historical returns for the MSCI indices.
Data on the composition of MSCI indices
On the following page provided by MSCI, you can get information about the composition of all indices offered by MSCI. Besides the name of the company, the weighting is given as well.
Blog entries with MSCI data:
- Returns of Stock Shares and ETFs over the last 50 Years
- Monte Carlo Simulations for Portfolios – The Power of Big Numbers (Part 1)
- Fear of the All-time High – Better not to Invest Now?
- MSCI World Top 10 Positions over the Last 10 Years – Is there a Cluster Risk?
- The Crash of Nikkei 225 – The Risk of Home Bias
- MSCI ACWI – Development of the Country Weighting for the last 10 Years
- MSCI World – Composition by Sectors for the Last 10 Years
- MSCI World 2021 – Year in Review
- MSCI EM 2021 – Year in Review for the Emerging Markets Index
On Yahoo Finance you can get historical price data for stocks and well-known indices such as the Nikkei 225, S&P 500, Dow Jones or NASDAQ. The data can be downloaded as a csv file with daily, monthly or annual values. For the Nikkei, for example, the historical data goes back to 1965. To download the price data, simply enter the desired index in the search field and then click on the tab “Historical data”.
Blog posts using Yahoo Finance data:
Scientific Data Sources
Robert Shiller Data
One of the most important scientific data sets for stocks comes from U.S. researcher Robert Shiller. This data is freely available on the Internet and dates back to 1871, making it the longest historical period for stock market data. The data is given in monthly intervals. Unfortunately, the Shiller data is limited to the U.S. stock and bond markets. The data tracks the performance over time of the S&P 500, which is one of the best-known stock indices in the world and tracks the performance of the 500 largest U.S. companies listed on the stock market. Together, these 500 companies account for about 60% of the market value of all listed U.S. companies today. Dividends and share prices are reported separately and inflation-adjusted values are provided. Many academic studies of stock market behavior rely on this data. The data can be downloaded as a csv file.
Blog posts using the Shiller data:
World Bank Database
The World Bank provides a freely accessible database on the Internet that provides data on a wide range of economic indicators. The aim of the database is to provide a reliable source of data to analyze economic developments at the national level. The data ranges from gross domestic product to the number of listed stock companies and exchange rates. The data can either be downloaded as a csv file or queried via an API. In addition to the desired economic indicator (e.g. inflation), the data can be filtered by country (e.g. Germany) or region (e.g. Europe) and time period.
Blog posts using World Bank data:
- How has the Number of Companies Listed on the Stock Market Developed and what is their Economic Significance?
If you know of any other interesting freely available datasets on financial data, let me know in the comments.