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Financial Databases and Research
Financial Databases and Research

Trading weekdays in Datastream

Posted in Datastream

Stock exchanges in Europe and many other nations have a working week and allow trading in stocks to take place from Mondays to Fridays. There are also many countries with stock exchanges that have different working weeks. These may run from Sundays to Thursdays. Examples of these are stock exchanges in Oman, Saudi Arabia, Kuwait and Dubai. In their case the non-trading days are Fridays and Saturdays.

When I download Price information from Datastream on stocks or indices from the Abu Dhabi stock exchange I do, however, get prices on non-trading days like Friday.

I asked the Thomson Reuters helpdesk how this could be and I was told that data from the Datastream database is reported according to the European trading/workweek. Prices on Sundays are placed in the previous Fridays.
For Example: 23rd Oct 2011 (Sunday) prices will be updated for 21st Oct 2011 (Friday).
This explains the result I got for the index of Abu Dhabi in the above example download.

Author information: LinkedIn


05:07 PM - 21 October 2011

Credit ratings & Bonds in Datastream

Posted in Datastream

In an earlier post I explained how you can get credit rating information on bonds/borrowers from the database Datastream. Ratings information is available from Moody's, S&P and a few composite Datastream ratings. What may not be immediately clear is the fact that the rating information is truly static: only the latest rating information available. The information you can download is not of the time series type.

Each data type has got the indicator Static. What may be confusing is the way the data can be downloaded. If you download all available rating data types (33) for more than one bond/borrower you get output that looks as follows:

Almost all ratings data types are given default names/codes/mnemonics that do not look like the original mnemonics in the Datastream Navigator! The downloaded type names are RD001, RD001 etc. and they seem to be repeated with different dates. Yersterday I called the Thomson Reuters helpdesk and they confirmed that the only rating information they carry is of the static type. It is not possible to get time series credit rating information from Datastream!

Author information: LinkedIn


12:44 AM - 30 September 2011

Practical tips for Event Studies in Datastream

Posted in Datastream

People who want to study the impact of certain events on company performance do what is called an event study. An example is: what effect does the announcement of quarterly financial results have on the stock of a company? To answer this question you need to find out what the major listed stocks of a company are and what the dates are when the results were announced over a certain period of time. Next you need to download the stock prices for the company at certain fixed windows in time surrounding the announcement dates. There are, of course, many more examples of event studies.

Datastream has a good tool that allows you to do this type of research: the Request Table tool in Excel. Some time ago I posted some examples on how to do an event study using the Request Table tool/Macro in Excel. Over time I have also posted several items on this blog that will make it easier to do an event study in Datastream using Excel. I thought it would be a good idea to make a short list of all posts related to an event study. I have also put them in the correct order:

NB: Another more general useful tip may be: how to remove duplicate company identification codes using Excel 2003, Excel 2007 or Microsoft Access 2007.

Author information: LinkedIn


12:07 PM - 15 September 2011

Matching CDS data in Datastream

Posted in Datastream

CDS are Credit Default Swaps. A credit default swap is a form of insurance that protects the buyer of the CDS when the borrower defaults (fails to repay the loan). The significant difference between a traditional insurance policy and a CDS is that anyone can purchase one, even those who do not hold the loan instrument and may have no direct "insurable interest" in the loan.

Datastream has two main sources of data on Credit Default Swaps:
- CMA Datavision CDS series
- Thomson Reuters CDS series

The CMA series usually offer historical information going back to 2004. The CMA series, however, are no longer offered through Datastream and all series end with the data from the 3rd quarter of 2010. For now, the historical data remains available through Datastream. Example:

The Thomson Reuters series are relatively newer series and very often start in 2007. They were introduced as an alternative to the CMA data. Example:

If you are doing research into CDS data and want a reliable continuous series of CDS data it is possible to combine matching series from both sources. To get trustworthy series it is imperative that you use the file that matches the series from both sources on the Datastream Extranet website. You can also download it here.

The function you need to use to combine two series is the Splice function.

CMA series 1
mnemonic: IMT..S5
Thomson Reuters series 2
mnemonic: IMT5$AM
Data type: SM

Description: Mid Rate – datatype (SM) shows the mid rate spread between the entity and the relevant benchmark curve. The rate is expressed in basis points. This is the default datatype.

Splice formula example: SPLC#(IMT..S5(SM),IMT5$AM(SM),14/12/07)

Example Search screen with a graph as the result:

Do not forget to mark the Display Data as MSChart option if you want the graph instead of the raw data! Example download (Graph):

Author information: LinkedIn

04:51 PM - 1 September 2011

Excel formula to generate cell destination

Posted in Datastream

Datastream offers a way to do an event study. The tool to do this is called a Request table. In a earlier post I showed how to use this tool. For each equity you need to indicate where the data will be downloaded to: the Data destination in a separate excel worksheet. It takes a lot of time to indicate for each equity where the data will be downloaded to. If you download more data types for each equity you also need to be sure to skip the right number of columns (or rows if you transpose).

Mr. Aart Bijkerk at the Vrije Universiteit suggested a quick method to skip colums using Excel. He suggested to use the function:


In the Dutch language version of Excel the function would be:


The function can then be copied downwards using the auto-copy function.
After using this function the column then needs to be copied to change them into values that can be copied and used in a Request Table. Example:

Author information:

12:28 PM - 17 June 2011

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