A Danish dividend-adjusted stock index

Klaus Belter, Tom Engsted, and Carsten Tanggaard developed 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.

Here is an update of the data from Feb 2002 until 2009. The index has been constructed in the same way as the original index with one exception. We use the official OMXC20 index as the unadjusted index and only construct the dividend-adjustment. The original OMXC20 index (due to OMX Nasdaq Copenhagen)  is included in the file.

Danish zero-coupon bond yields

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.