Home > Business Databases, Economic data > Indices and datatypes in Datastream

Indices and datatypes in Datastream

Thomson ReutersThomson Reuters Datastream is possibly the largest database in terms of the numerical, historical data available. However, it can sometimes surprise with data not being available. Recently this has been highlighted with research students looking for dividend yield data for several international indices.

Equity indices are provided by a number of different companies and this means that the datatypes available in Datastream can vary from index to index. In addition, when Datastream says that it has 35 years of data for an index, this is for the index level (datatype Price Index – PI), and other datatypes may well have less historical data.

There is a quick way to check datatype availability using the Datastream Navigator.

  1. Find the index – search the Equity Indices category, or use Explore – Equity Indices
  2. Select the name so that the index metadata is displayed
  3. Find and select the “more” at the end of the Headline coverage and you get a window displaying datatypes and dates.

The following screenshot is for the Nikkei 225 (JAPDOWA) – it shows Price Index (PI) available from April 1950, Total Return Index (RI) from January 2002, and Dividend Yield (DY) is not available at all.

DS Navigator Index datatypes (click to expand)

DS Navigator Index datatypes (click to expand)

If the datatype that you want is not available, or does not have sufficient historic data, there are two options.

First, check if there is an alternative datatype – for some indices there is a DSDY (Datastream calculated dividend yield) or MSDY (MSCI Dividend Yield) [See Equity Indices and datatypes (Datastream) posted July 2010)

Second, choose a different index where DY, or MSDY or DSDY, is available. For Japan the MSCI Country Index MSJPANL has MSDY available from December 1969, and Japan Datastream-Market TOTMKJP had DY available from January 1973.

To get more historic data then we need to look something like the aggregate Japan/Tokyo stock exchange dividend yield from Global Financial Database (GFD) – See Global Financial Database for historical data (posted June 2014)

Notes

Although this post has been about equity indices, this approach works for finding the historic availability of datatypes for other Datastream series, for example the commodity crude oil series OILBREN.

If you use the Datastream Navigator Criteria Search then the “more” to display datatype details is at the end of the Datatypes column. (When searching make sure to select the correct Data category.)

 

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