Klaus Belter, Tom Engsted, and I have a dividend-adjusted index for the Danish stock market, 1985-2002. Here is a link to a zip-file with the index on a daily basis. See Belter et al (2005): A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability, Research in International Business and Finance, 19, pp. 53-70 for a more detailed description. You may download and use this index for teaching and research purposes as long as you include a reference to our work. There is also an article written in Danish with information about the index.

An ascii-file with Danish zero-coupon yields. Here is the same file in Exel format. The data was used in the article: The predictive power of yield spreads for future interest rates: Evidence from the Danish term structure. Scandinavian Journal of Economics, 97, 1995 and reproduced in: A cointegration analysis of Danish zero-coupon yields. Applied Financial Economics, 24, 1994. Both articles are joint with Tom Engsted.