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Finding data

Financial Markets

This section presents data sources that collect data for financial markets. Examples include stock prices for different exchanges, index data, derivatives, or currency trade. The sources mentioned here are licensed sources and can only be used by students or researchers at VU University. Most sources can be accessed from home. If you need instructions on how to gain access you can check the information in the library web site.

The list below presents only the most important sources available at the VU. For a more complete list that also includes some publicly available sources, use the full list of data sources on the library website. More information on these databases can be accessed through the tabs in the menu on the left.

The primary sources for financial market data are:

Data Source Description

The Center for Research in Security Prices provides a number of databases: CRSP Mutual Fund Database (quarterly delivery), CRSP 1925 US Stock Database (annual delivery), CRSP 1925 US Indices Database (annual delivery) and CRSP/Compustat Merged Database (CCM Link). The data are available through the WRDS platform.

Datastream is an international database with time series data such as stock exchange data, official company data, credit ratings and macro-economic information. Through the Datastream Navigator you can also search the databases I/B/E/S/ (Institutional Brokers Estimates System) and ASSET4 ESG. Annual report data comes from Worldscope.

Access requires specific Datastream software that is only available on specific computers on campus.

High Frequency data

While most data for financial markets are reported on a daily basis, the following three databases report intra-day data, in some cases at millisecond frequency.

The database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues.
Forex, Futures & Indices
intraday trading data for several indices, currencies and futures.
Thomson Reuters Tick History
Intraday options data.

The SDC database consists of three modules.

US and Non-US Mergers & Acquisitions
This source allows researching of US targets from 1979 and non-US targets from 1985.
Global New Issues (equities and bonds)
This source provides research on US public offerings from 1970 to the present and international offerings from 1983 to present.
Venture Capital (VentureXpert)
Industry resources (funds, firms, portfolio companies, individuals) & Industry Statistics.

Access requires specific SDC software that is only available on two specific computers in the library.