TSE/TSX Data

TSE/TSX Data

The Canadian Financial Markets Research Center (CFMRC) Summary Information Database

Toronto Stock Exchange historical data are available on CD-ROM within the Business Library at the University of Western Ontario. Originally developed at the Canadian Financial Markets Research Center (CFMRC) here at Western, the database provides coverage of all common and non-common Toronto equities, and Toronto Stock Exchange indices, beginning in 1950. As well, the database provides CRMRC developed indices, and Canadian interest and exchange rates. The product is updated annually. See the Addendum at bottom of the page.See the Addendum at bottom of the page.

An added component of the data presentation is the graphing feature, whereby, selected data can be displayed in graph form. (Please note: Graphs cannot be printed or exported) An added component of the data presentation is the graphing feature, whereby, selected data can be displayed in graph form. (Please note: Graphs cannot be printed or exported)

Equity Data:

Monthly beginning in 1950: price, return, EPS, Beta, transactions, total volume, shares outstanding.

Daily beginning in 1975: price, volume, transaction, quotes.

Price adjustments beginning in 1950: dividends.

Index Data:

Monthly beginning in 1950: price, total, T-bill rate, Long-Term Government Bonds Rate, Corporate Bonds Rate, Canada/U.S. Exchange Rate, T-bill return, Long-Term Government return. Monthly beginning December 31, 1987: price and total for 10 sectors and 4 sub-indices.

Help Guide for Searching the CFMRC Database:

To Begin:

The database is on three CD-ROMS. Common Equities are split alphabetically on two CDs, and Non-Common Equities are on one CD.  These CD-ROMs are available at the circulation desk at the Business Library.

Use the public computer opposite the circulation desk. Click on the CFMRC icon.

Copyright information appears. Indicate: I Agree or I Don't Agree.

 

The next screen presents the Licensing Agreement. Choose: Yes or No.

TO SEARCH:

When searching, be aware, your stock may be on one of the other CDs.

Select the Search command at the top of the screen.

A choice menu appears offering three search capabilities.

- GoTo - if you already know the ticker symbol of the stock you wish to research. Type in symbol. Select OK

- Names - if you wish to search for the ticker symbol. Type the company name at the cursor. Choose the company desired. Select OK

- Dictionary - if you wish to trace a ticker symbol's history. Type the ticker symbol at the prompt. Tab to the date parameters and input information. Select OK. Data will appear on the screen.

The relevant company information will appear on the screen when any of the 3 search choices are used.

Choose Datatypes

Choose Daily, Monthly, Price Adjustment, Daily Index Data or Monthly Index Data

The requested data appear on the right hand portion of the screen.

If you wish to revise your data choice, return to Datatypes at the top of the screen.

l Use choices in green boxes to move among stocks and dates, or to designate specific dates.

TO MARK DATA FOR OUTPUT:

Select Marking.

Choose Mark Stock; return to Marking

Select Fields

Click on each category of information desired. Mark in either the Save or Graph column or in both columns if you wish.

Search all stocks for which you require data. Markings for the first stock chosen will transfer to all subsequently selected stocks.

Choose OK when selections are complete.

TO GRAPH:

Perform marking data (above) first.

Select Graph

Input required dates-(Use Tab to move between date boxes)

Select OK

Data appear in graph format

No data output is possible

Select OK when done viewing

TO DOWNLOAD:

Select File

Select Field Separator; then make a choice among the items on the menu which will determine the display format for the data.

Select File; then Save to File

Set the File Name, Folders and Drives and click OK.

Go to Directories box and Choose A

System offers a date range choice. Use Tab key to move between From and To date selectors.

Insert dates using Y M D or Y M formats according to Datatype selected previously

Select OK (or Cancel)

System lights will flash indicating data is being downloaded

TO END SESSION:

Place cursor on Bar in left corner of screen of CFMRC Database Browser

Click

Choose Close; then Yes or No

Addendum Summer 2006

Change in CFMRC Indices

Please note that as of the April 10, 2006 update for the December 2005 TSX/CFMRC Database, the COmmon Equities database follows the decision to include units in the S&P/TSX Composite Indices. Consistent with this decision, the CFMRC Equal- and Value-weighted indices have also been updated to include returns on domestic units. All index values for the CFMRC indices have been recalculated from 1950 onward. The daily and monthly index files in the December 2005 and future databases therefore differ from numbers published previously for dates prior to January 4, 2005.

Addition of Risk Premia

The December 2005 (and future) TSX/CFMRC databases now include annual Risk Premia for Canadian Financial Markets over several Government of Canada Treasury Bills and Bonds as published by Passport Financial Services Inc. Returns for each series are annualized from onthly data and mean returns (arithmetic and geometric) and standard deviations are reported in Tables 1 through 4.

Risk Premia, or spreads over returns on Government securities, are reported in Tables 5 through 7. Arithmetic means (and standard deviations) are the arithmetic mean (standard deviation) of the differences between annual market returns and the return on the corresponding Government security (the arithmetic mean of differences). Geometric means are the difference between the geometric mean of annual market returns and the geometric mean of annual returns on Government securities (the difference between two geometric means).