Hey peeps…
I’m currently working towards completing my dissertation for my master’s program, which involves analyzing the price and trading volume data for all the listed stocks on the Singapore Stock Exchange (SGX). I need to gather data on the opening and closing prices, as well as trading volumes for the past 20 years.
If anyone has experience or knows how I can efficiently collect this data for ALL listed stocks on the SGX, I would really appreciate your input! Are there any databases, websites, or tools you recommend?
Collecting historical stock data for all SGX-listed stocks is a significant project. Here are some options to consider:
Financial Data Providers:
Bloomberg Terminal: Provides extensive financial data, including historical prices and volumes, but comes at a high cost.
Reuters Eikon: Offers detailed data and analytical tools similar to Bloomberg.
S&P Capital IQ: Includes historical stock data, financials, and industry information.
FactSet: Delivers a broad range of financial data and analytical tools.
Free or Low-Cost Alternatives:
SGX Website: May provide some historical data, though it might be limited in scope and format.
Yahoo Finance: Primarily focused on US stocks but might include some SGX data.
Google Finance: Provides basic historical data for selected stocks.
Python Libraries: Use libraries like Pandas-Datareader to extract data from various financial sources.
Important Considerations:
Data Quality: Verify that the data is accurate, complete, and error-free.
Data Format: Ensure the data is in a format compatible with your analysis software (e.g., CSV, Excel).
Data Cleaning: Be ready to clean and preprocess the data to address inconsistencies or missing values.
Ethical Considerations: Confirm you have the appropriate permissions to use the data for your research.
Given the extensive data required, starting with paid options might be beneficial as they offer more comprehensive datasets and advanced features to facilitate your analysis.
If your university has access to the Bloomberg Terminal, you can create an account there, open Excel, and use the query builder. Here’s an example of how to set up a query:
For selecting constituents, you might use a specific index like the Bloomberg Singapore All Shares Index (BBBSGX Index), the MSCI Index (MXSGAC Index), or the FTSE Index (TACSGPL Index). I can also provide a list if needed.
You’ll also need to decide how to handle past listings and whether to include cross-listings, such as shares from Malaysia, the Philippines, Thailand, etc., that are traded on SGX.
Next, determine if you want action-adjusted volume and price data—this means adjusting past prices based on the current number of outstanding shares—or if you prefer using the raw prices and volumes.
Once you have the list, use the formula =BDH("XYZ FIGI","PX_OPEN, PX_CLOSE, PX_VOLUME", "2004-01-01", "2024-12-31") in Excel to retrieve the data you need. You can also add options like “CshAdjNormal=Y” for dividend adjustment, “CapChg=Y” for split and capital change adjustment, and “CshAdjAbnormal=Y” for capital distribution adjustment.
