I don't have perfect solution for above problem, I but can help you out with the alternative. As far as my information you can't download the data country wise. I was also looking for the same. You should have all the symbols first in place. I have prepared a small code which loop through the all available symbols and get historical data from Yahoo.
library(quantmod)
startDate = "2000-01-01"
thePath = " * "
source(paste(thePath,"code\\listOfInstruments.r",sep=""))
for (ii in theInstruments){
print(ii)
data = getSymbols(Symbols = ii,
src = "yahoo",
from = startDate,
auto.assign = FALSE)
colnames(data) = c("open","high","low","close","volume","adj.")
write.zoo(data,paste(thePath,ii,".csv",sep=""),sep=",",row.names=FALSE)
}
Regarding symbols that you can easily download from exchange and save it, It's a one time job. Rest you can use the above code to get the data life long. I have created database using above code only.