Financial Markets

General Financial Market Data

Users should first consult the Bank of England's Millennium of Macroeconomic Data spreadsheet. This contains a range of data on interest rates, yields, asset prices and exchange rates some at a monthly frequency stretching back to the C18th.

• Financial Markets section of Millennium of Macroeconomic Data v3.1 (xls). Headline financial market data from this spreadsheet are available via FRED

Interest Rates

For a range of short-term interest rates and exchange rates at a weekly frequency during the late C19th, covering the UK and other Gold Standard countries, users should consult The Neal-Weidenmier Gold Standard Database. Spreadsheet links are below:

• Neal and Weidenmier interest rates (xls)
• Neal and Weidenmier Exchange Rates (xls)

Long-term interest rates and share prices 1829-1929

Several datasets with more granular data on long term rates and share prices are available online.

• Professor Andrew Odlyzko has collected a range of long-term bond yields, asset prices and related data for 19th century British financial markets
• The International Center for Finance (ICF) at the Yale School of Management have transcribed and made available The Investors Monthly Manual (IMM), an invaluable record of The London Exchange, for the period from 1871 to 1930, the peak of the colonial era.
• Using the IMM Gareth Campbell, Richard Grossman and John Turner have recently improved on their previous work and produced new monthly share price indices covering the period 1829 to 1929. Estimates can be found in the appendix to their paper Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829–1929

The Actuaries Investment Share Index, 1929-1962

The Actuaries Investment Share Index, the forerunner to the modern-day FTSE All-Share index, is now available as a spreadsheet through a joint collaboration with the Institute and Faculty of Actuaries (IFoA). The indices cover a number of industries and include both prices and dividend yields allowing total return indices to be constructed. The data begin in the 1920s, with some exploratory work on returns by C.M. Douglas, with the official indices beginning in December 1928 and ending in 1962, after which the FTSE indices begin. The data are weekly between 1930 and 1939 and monthly after that. The foreword to the spreadsheet has a brief background on the origins of the index and more information will be made available shortly on the Institute's website.

• Actuaries-share-prices-and-yields-1923-1962

Financial Statistics Explanatory Handbooks

The Notes and Definitions series and later Explanatory Handbooks for the CSO/ONS Financial Statistics publication are available for various years listed below

1964 1966 1969 1970 1972 1976 1978 1980 1982 1984 1986 1988 1990 1991 1992 1993 1994 1996 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

The key periodical here is Financial Statistics. Each month's edition has specific supplementary tables with additional statistics.

Please select a publication title and year from the boxes below to narrow down the list. Alternatively type in a general search term. The available excel and pdf files are shown in the table. If the publication you are looking for is not in this section please see the complete list of downloadable publications. 

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