Major Equity Indices Daily Returns

The daily total-return series of major developed-market equity indices — S&P 500, Dow Jones Industrial Average, NASDAQ 100, DAX and Nikkei 225 — spanning roughly the late 1960s/1990 to the 2010s/2023. This is the empirical testbed for the two regime-switching trading studies in this vault: Bulla et al. (2010) use ~40 years of daily data across the US, Germany and Japan, and Shu, Yu & Mulvey (2024) use 1990-2023 for the same three regions. It appears here as the dataset on which the out-of-sample profitability of the Markov Regime-Switching Model is assessed.

Connections

• Markov Regime-Switching Model — uses_dataset, source: https://mpra.ub.uni-muenchen.de/21154/1/MPRA_paper_21154.pdf
• Bulla et al. 2010 — uses_dataset, source: https://mpra.ub.uni-muenchen.de/21154/1/MPRA_paper_21154.pdf