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Data appendix

Published online by Cambridge University Press:  05 June 2012

Terence C. Mills
Affiliation:
Loughborough University
Raphael N. Markellos
Affiliation:
Norwich Business School, University of East Anglia
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Summary

The following series can be obtained from http://lboro.ac.uk/departments/ec/cup.

  1. RS: 91-day Treasury bill rate, monthly, March 1952 to December 2005 (648 observations).

  2. R20: Yield on 20-year UK gilts, monthly, March 1952 to December 2005 (648 observations).

  3. RSQ: 91-day Treasury bill rate, quarterly, 1952Q1 to 2005Q4 (216 observations).

  4. R20Q: Yield on 20-year UK gilts, quarterly, 1952Q1 to 2005Q4 (216 observations).

  5. RSQREAL: Real 91-day Treasury bill rate, quarterly, 1952Q1 to 2005Q (216 observations).

  6. FTAPRICE: FTA All Share price index, monthly, January 1965 to December 2005 (492 observations).

  7. FTADIV: FTA All Share dividend index, monthly, January 1965 to December 2005 (492 observations).

  8. FTARET: FTA All Share nominal returns, monthly, January 1965 to December 2005 (492 observations).

  9. RPI: U.K. Retail Price Index, monthly, January 1965 to December 2005 (492 observations).

  10. USTB: U.S. 3-month Treasury bill rate, monthly, April 1953 to February 2005 (623 observations).

  11. GIASE: Absolute returns on the General Index of the Athens Stock Exchange, daily, 1 June 1998 to 10 September 1998 (12,117 observations).

  12. NORD: Nord Pool Exchange electricity prices, daily, 22 March 2002 to 3 December 2004 (988 observations)

  13. VIX: VIX prices, daily, January 1990 to September 2005 (4130 observations)

  14. EXCHD: Dollar/sterling exchange rate, daily, 1974 to 1994 (5192 observations).

  15. EXCHQ: Dollar/sterling exchange rate, quarterly, 1972Q1 to 1996Q4 (100 observations).

  16. S&P500: S&P 500 index, annual, 1871 to 2006 (136 observations).

  17. S&P500R: S&P 500 real returns, annual 1872 to 2006 (135 observations).

  18. S&P500D: S&P 500 index, daily, 1928 to 1991 (17,054 observations).

  19. FT30: FT 30 index, daily, 1935 to 1994 (15,003 observations).

  20. FTSE100: FTSE 100 index, weekly, 1984 to 1993 (521 observations).

  21. CTLD: Courtaulds share price, weekly, 1984 to 1993 (521 observations).

  22. LGEN: Legal and General share price, weekly, 1984 to 1993 (521 observations).

  23. PRU: Prudential share price, weekly, 1984 to 1993 (521 observations).

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Publisher: Cambridge University Press
Print publication year: 2008

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