Daily Closing Prices of Major European Stock Indices, April 2000--December 2017

A dataset containing the stockmarket returns between 2000-04-03 and 2017-12-05. This dataset is very close to the one used by Choi & Shin (2021), although not strictly identical. It has been produced by the Oxford-Man Institute of Quantitative Finance.

Usage

stockprice

Format

A data frame with 4618 rows and 7 variables:

DateID

a vector of Date.

SP500

a numeric vector of the stockmarket return for the S&P 500 Index.

FTSE100

a numeric vector of the stockmarket return for the FTSE 100.

Nikkei

a numeric vector of the stockmarket return for the Nikkei 225.

DAX

a numeric vector of the stockmarket return for the German stock index.

NASDAQ

a numeric vector of the stockmarket return for the Nasdaq Stock Market.

Event

a character string of particular events that have impacted the stockmarket, as in Choi & Shin (2021).

Source

The file was downloaded from the "Oxford-Man Institute's realized library", which no longer exists. At the time, the raw data file was named "oxfordmanrealizedvolatilityindices-0.2-final.zip".

References

Heber, Gerd, Asger Lunde, Neil Shephard and Kevin Sheppard (2009) "Oxford-Man Institute's realized library", Oxford-Man Institute, University of Oxford.

Choi, JE., Shin, D.W. Nonparametric estimation of time varying correlation coefficient. J. Korean Stat. Soc. 50, 333–353 (2021). doi:10.1007/s42952-020-00073-6

See also

datasets::EuStockMarkets for a similar dataset, albeit formatted differently.