Maybe you are not only interested in the price index of a certain index but you might also want to know what stocks are part of that index. These stocks are called the constituents of the index. The lists of historical constituents are available in CompuStat North America and CompuStat Global. Which database you have to use depends on the index you’re investigating: American indices, like the S&P 500, can be found in CompuStat North America, indices from other parts of the world can be found in CompuStat Global. Unfortunately there is no list of the indices covered.
Constituent lists can also be found in Datastream, but downloading the historical constituents from CompuStat is much more user-friendly, so we advise you totry Compustat first.