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).