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I'm looking for historical data of the CAC40 components.

I looked at these previously asked questions:

as well as Yahoo Finance and the official CAC40 site (on Euronext).

The issue is that it's easy with Yahoo finance to find:

  • the historical data for a CAC40 company
  • a list of current CAC40 components

but not the list of CAC40 components at the time.

Are there any sources from which I could download this information from ?

Edit: If this kind of data is available for the SP500, I would be very interested as well!

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I'm not sure if you are looking for the components only or if you want more data, like the weights in the index.

Unfortunately, unlike most other data on the web, it's hard to get any good financial data for free. The only easy way is to pay for accessing it through a financial data provider such as Bloomberg (with MEMB function when you select an index).

For the S&P500, I found this website, where it's a lot cheaper than Bloomberg (USD3 vs USD24000) : http://www.daytradingbias.com/?page_id=105159

For the CAC40 you are lucky, I found this website where it's free (I hope you have some knowledge of French), but there is no more data than the dates and names of components : http://www.bnains.org/archives/histocac/histocac.htm

But free (or cheap) data actually come at a price: I do not guarantee data correctness (actually I'm pretty sure there are some errors, by looking at their building methods).

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As you said yourself, Yahoo finance provides the historical stock data. The only thing left is to know the historical composition of the CAC40. This information can be extracted from the french wikipedia site about the CAC40, or from the source @jean-paul-sartre mentioned. In my answer I will concentrate on how to scrap the information.

Some time ago I wrote a Rfunction to scrap information from wikipedia tables. Using the R-package RCurl one has to specify the URL of the wikipedia website and a number $n$ which table to scrap. I download the sourcecode by

x <- getURL(url="http://fr.wikipedia.org/wiki/CAC_40")

and with the help of gregexpr I search for <table and </table>, take the $n$-th table. Then I iterate over <tr> cells, get the heading from <th> and the actual content from <td> cells. Sometimes one has to tidy up a bit. Scraping the two tables from wikipedia, combining them and extracting the historical development of the CAC40 constituents is now straightforward.

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This data isn't free obviously, but Euronext (the index provider) might be inclined to give you this information if it's for academic purposes. It's advertised on their website here: https://www.euronext.com/fr/market-data/products/end-day-index-data

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You can try Quandl. They have a nice API to R and Python which you can use to do the data-wrangling.

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Bloomberg or datastream are the only possible sources.

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  • $\begingroup$ I know of Bloomberg but for amateurs, professional solutions like this aren't really an option. $\endgroup$
    – m_vdbeek
    Apr 18, 2015 at 11:50

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