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I am trying to write my masters thesis in finance and my topic will be ETF related. I wanted to ask whether it is possible to find data for an empirical analysis for my thesis. I have been searching far and wide on the Internet but it seems people either have no idea or not many deal with this topic.

I wanted to ask whether someone can give me an advice on data access concerning ETFs. What I am more precisely looking is data on ETFs which include their holdings and information about the change of the holdings, when a certain stock was integrated in the ETF and when it was dropped by the ETF creator.

Thanks in advance guys, any comments will be appreciated.

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So according to this source here, ETFs are required to publish the type of data that they are looking for, they sometimes go on to publish such data on their own websites https://www.sec.gov/investor/alerts/etfs.pdf. But navigating to each ETFs own website and trying to source all this data is clearly arduous and not worth pursuing if large quantities of it is required.

A source that doesn't seem obvious would the Financial Times, their data archive appears sound and data could be sourced directly or webscraped: https://markets.ft.com/data/archive

Don't forget about sources such as Quantpedia: https://quantpedia.com/links-tools/?category=historical-data as well as QuanShare: https://www.quantshare.com/sa-466-download-historical-eod-data-for-the-stock-futures-etf-and-forex-markets.

I hope these sources help, if not perhaps even ask your University and see if they have historical data! If they don't, see if they could allocate some funds for you to subscribe to datasources that have come with a premium- such as MorningStar. Hope this helps.

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  • $\begingroup$ Oh very, nice thanks a lot, i will definitely be checking each and every source you have provided. Thanks a lot man :) $\endgroup$
    – AugusteDupin
    Commented May 8, 2020 at 10:53
  • $\begingroup$ No problem, Glad this helps! If you accept this answer as the best one then it would mean a lot if could accept it as such! $\endgroup$
    – Hamish Gibson
    Commented May 8, 2020 at 12:20

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