We have available for scientific research a historical database of the Italian Stock Market. The database contains daily market data from 1973 until 2011 and is constructed by joining two main digital sources and several other hand-collected data sources. Our database uses a concatenation structure to allow the handling of company name changes, mergers, and stock splits without altering artificially numerical series. Thanks to the overlapping of digital and hand-collected data, the completed database has a very high level of detail and accuracy. Our dataset is particularly suited for any empirical research in financial economics and for more practical oriented numerical applications and forecasting simulations.
Our database consists of 785 companies with 1433 names, 1084 shares’ series, including common, preferred and savings shares, of which 364 are still quoted. The database also includes 8852 unit dividends, 7422 capital operations with 2426 adjustment factors, 2687737 valid prices and 2226750 valid non-zero volumes.
The constructed database can be used for academic research as well as for practical applications that use stocks historically listed in the Italian stock markets in the last four decades. Thanks to the extensive coverage of capital operations it can be the ideal dataset for research on asset pricing, dividend policy and tax effects and for historical research on takeovers. The availability of very long time-series of daily prices, not influenced by changes due to acquisitions, and which can be easily corrected for dividends and adjustment factors can be used to develop and test long-term forecasting tools.
We have already developed an application program interface for MathWorks MATLAB to extract prices, dividends and volumes directly from the database in Microsoft Access format and to correct prices using adjustment factors and dividends, providing the traditional simple time series used by financial analysts.
Future technical plans include the development of similar API for GUN Project R, a visual tool to study the market’s structure and a tool to keep the database always up-to-date with current prices and volumes, extracting the data automatically from web sources at the end of each market day. Future quality improvement plans include manual checking of the number of issued shares, double-checking acquisitions against Italian financial newspapers of the 70s and 80s, the addition of company’s financial data, of sector and of control group information.