Archive for the ‘Datastream’ Category

This week the New York Stock Exchange was closed for two days, due to Hurricane Sandy. How does Datastream deal with these non-trading days?

When you download for example the Closing Price (Datatype P) the closing price of the previous trading day, in this case October 26, will be repeated. If you want no data when there was no trading, you have to use a different datatype: P#S. This will give you ‘unpadded data’, for example when the exchange is closed due to a holiday or the stock is suspended and thus no stock price is published.

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This week Datastream Navigator changed a bit:

  • You can find the codes of individual future contracts in Datastream Navigator in the Data Category ‘Futures’ (like AEX Index mar 2013), and lists of living or dead futures in the Data Category ‘Constituents Lists’.
  • The Explore option has moved, you can find it in the black bar on top of the Search page. This Explore options is a guided search.
  • When you use the Search option, and click on a code you see a overview of the information for that stock or index. This now includes for example a link to the constituent lists where the stock belongs to.
  • When you use the Search option, you’ll get a list of 10 results, to see result number 15 you have to go to the next page. Now, when the total number of results is less than 400, you’ll find a link Show all in the right upper corner.

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It can be difficult to find risk free interest rates. You can’t find them under that name in Datastream, so what do you have to choose?

Datastream offers an overview of the instruments they recommend for the main markets, including the Datastream code . This overview is available on the Extranet of Datastream, this is the link. When you have to login use the username and password of Datastream Navigator.

Please note: these series are recommended by Datastream, for your own research purpose you might have to choose other series.

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In the new version of Datastream Navigator one Data Category has changed a lot: the category ‘Options’. From now you can find the mnemonics of the individual option contracts (call or put, with their own expiry dates and exercise prices) in Datastream Navigator. (Previously you could only see them on a computer with a Datastream connection in a small pop-up screen.)

For example:

The number of option contracts can be quite overwhelming, especially when you include dead options to the results. For example: there are 864 live call options for the S&P 500 in Datastream! 

TIP: to make sure you find the options you’re looking for, you can first search the DS Mnemonic of the underlying instrument (the index, commodity, stock etc) and enter this Mnemonic in the search field  ‘Underlying Mnemonic’ of the Advanced Search in  the Option part of Datastream Navigator.

When you want to download data for all option contracts of a certain option, it might be easier to work with lists. These can now be found in the Data Category ‘Index Constituents’. In general, each option has four lists: live call options, live put options, dead call options and dead put options.

With the DS Mnemonic of the list you can download the Static and Time Series information of the underlying option contracts in one request in Datastream.

See our updated manual for more information.

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Datastream Navigator has been enhanced. Important changes in searching and finding the codes you need to download data from Datastream are:

  • The Explorer function that was available for some Data Categories, like Economics, is no longer available. The Explorer is now incorporated in the Search option: you’ll see a small link Explore under the search bar. The Advanced Search, where you can search with particular fields, is still available.
  • When you use Search to find your series, you can use the column at the left side of the results (under Refine Search) to filter by include or by excluding certain search options. Click the +/- link to get this list.
  • Interest Rates and Exchange Rates are deleted from the Economics part of the Navigator. Of course these series can still be found in the specific data categories Interest Rates and Exchange Rates.
  • In some cases you’ll see a small excel icon at the right side of the grey All results bar. This allows you to quickly download the names and mnemonics of the list of series on your screen.

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Under the Function button in Datastream a lot of useful options are hidden. One of them is the option to rebase an index: you can choose the date this index is rebased to 100.

These are the steps you have to take:

  • Open Time Series Request in Datastream
  • Enter the code of the index or use Find Series to find the code
  • Click behind Datatypes/Expressions the Fx-button
  • Search for Rebase
  • Use for example REB#(expression,date) and click OK

  • Enter the date behind Date (in this format: dd/mm/yyyy)
  • Click OK – the function is entered behind Datatypes/Expressions

  • Enter your start- and enddate
  • Click Submit – the data download starts

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If you want to search for the codes of macro-economic indicators in the Economics module of Datastream Navigator, you probably get this error message after hitting the Search Now button.

As far as we know this only happens in the Economics module. This message can appear when you use the online version of Datastream Navigator and in the Excel add-in of Datastream (the Find Series button).

The solution: You can solve this by deleting the cookies and the temporary internet files in Internet Explorer (Tools > Internet Options > button delete under Browsing History).

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When you need stockprices centered around a particular date, for example the announcement of a merger or a CEO change, you can use the Datastream Event Study Matching Tool (available on our website, you need an ERNA-account to access it). For this tool you need a list of identifiers Datastream can recognize (DSMnenomics, DS Codes, ISIN-codes or SEDOL-codes), the dates, in a format like 10-16-2007, and a computer with a Datastream connection. Behind Estimation window and Event window you have to specify the number of days around the event.

If your list only contains US companies you can also use a tool in CRSP:  this tool is called ‘Daily Extract with Time Window’. You can find it in CRSP Annual Update under Tools. Here you need a text-file with the PERMNOs and the event date (in YYYYMMDD format – see picture below). Under Window Size you have to specify the number of days before and after the event. Don’t forget to mark Company Name and Price.

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The continuous series are Thomson Financial’s options calculated series available on the Datastream product. Unlike individual options series, continuous series do not expire until the actual options class ceases to exist. The values from the nearest expiry month options are used to calculate for example the Implied Volatility.

Please note: some datatypes in the options Data Category in Datastream are  only available for the continuous series – behind the name of the datatype you’ll see “(Cont Series)”. This means these datatypes are not available for indiviudal options series.





You can find more background material in the ExtraNet of Datastream Navigator – in the Options User Companion.

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An easy way to find out the local stock market index for a specific stock is to use the Static Request in Datastream and download the INDXL – the Associated local market index. This datatype returns the code of the benchmark local stock market index for a given equity.

For example: the INDXL of Ahold returns AMSTEOE, that’s the Datastream Mnemonic of the AEX-index; the INDXL of Google is S&PCOMP (S&P 500) etc.

This can help you get the codes of the indices needed for the Event Study Tool, but be aware: the company doesn’t have to be a constituent of this local index! For example the INDXL of Spyker Cars is also AMSTEOE, but the company isn’t part of the AEX-index (it’s a constituent of the Amsterdam Small Cap Index).

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