You can use CompuStat Global to find historical index constituents of non-American indices, like the AEX, Bovespa or CAC40. It’s much more user friendly then using Datastream to get this information: the output looks better, it’s less work and you don’t need a computer with a Datastream connection (with a VPN-connection and a WRDS day pass to get access from home) .
In WRDS go to CompuStat Global and choose Index Constituents.
- At step 1 you have to enter the time frame
- At step 2 you have to enter the TIC or GVKEYX of the index, use the link Code Lookup to find this identifier
- At step 3: mark everything
- At step 4: choose the output format, like Excel.
The output can look like this (in the example the constituents of the Bovespa between 2000 and 2010 were requested):
CompuStat Global gives you the SEDOL- and ISIN-codes of the companies in the index. Effective From Data is the date the company was added to the index; Effective Thru Date the date the company was deleted. When you see . the company is still part of the index.