Benchmark Indices Asia/Middle-East/Oceania


Database version: July, 2022
"Presentation" and "Documentation" sections are publicly available, but you must be a member to access the other sections.

Data range and origin

EUROFIDAI benchmark indices are computed by EUROFIDAI with EUROFIDAI quality stock data. EUROFIDAI stock data is Six Financial Information data, screened and verified by EUROFIDAI. 

  • Indices by country and by sector (value-weighted and equally-weighted)
    • Period: January, 1989 - December, 2021 (period may vary depending on the country)
    • Number of indices: 812
    • Number of observations: 3 780 284
  • Factor indices and benchmark portfolios (portfolios formed on size, book-to-market, momentum and risk free interest rates to compute the market premium factor)
    • Period: July, 1989 - December, 2021 (period may vary depending on the country)
    • Number of indices: 494
    • Number of observations: 2 426 605
  • Data overview: download

The period, number and type of benchmark indices may vary depending on the information available for each country. Please read the documentation for more details.

NOTE: sector, factor indices and benchmark portfolios are calculated in 2 ways, with or without foreign stocks quoted on local stock exchanges.

Indices by country and by sector

EUROFIDAI computes indices per country (19 countries). It also provides indices per sector.

This database contains prices and returns for all EUROFIDAI indices (with or without dividends). These indices are built in the same manner as CRSP indices, meaning that all (class A) stocks are taken into consideration.

Indices are also calculated with or without foreign stocks quoted on local stock exchanges.

  • General (by country) benchmark indices: one equally-weighted, the other capitalization weighted
  • Sector indices covering ten general economic sectors (this number may vary depending on the stock exchange)

Types of data

  • Index return (daily and monthly), calculated from adjusted closing index (with or without reinvested dividends)
  • Index holding value (with or without reinvested dividends)
  • Number of stocks covered by the index (the default settings calculate the indices without the foreign stocks quoted in the considered country. An option is available to calculate them with the foreign stocks)

Factor indices and benchmark portfolios

This database provides returns for factor indices and benchmark portfolios. Factor-mimicking (portfolio benchmark) indices are computed in the spirit of the papers of Fama and French (1992, 1993) and Carhart (1997).

EUROFIDAI computes factors and benchmark portfolios for 19 countries from Asia, Middle-East and Oceania geographical areas. 

  • Factor indices: size, book-to-market and momentum factors
  • Benchmark portfolios:
    • portfolios formed on size
    • portfolios formed on book-to-market
    • portfolios formed on momentum
  • Risk free interest rates to compute the market premium factor

Types of data

  • Index holding return (with reinvested dividends) 

You can download here the documentation for our Indices database :

Contact us to receive more information about our data or our subscription fees. We provide several type of subscriptions to fit your budget so feel free to reach out. 

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    Our high quality data is designed for research and covers a large geographical area (Europe, Asia, Middle-East, Oceania). Please contact us for access modalities. We provide several type of subscriptions to fit your budget.