Australian Stock Market Data

Method

The data that makes up the Australian Stock Market History published on this site comprises discrete annual returns of the stock accumulation index, stock price index, Australian Government 10 year bonds, and inflation values in each December from 1883 to 2018.

The primary data set are sourced from a paper published by Brailsford et al. (2012) – who provided estimates of the Australian stock market returns from 1882 to 2010. Brailsford et al. (2012) was an expansion of a previous paper by Brailsford et al. (2008). 

Brailsford et al. (2008) generated a historic Australian stock price series from 1883-2005. They report their data series was built by aggregating three previous data series:

  1. The Commercial and Industrial index from 1882-1936.
  2. The Sydney All Ordinary Shares price index from 1936-1979.
  3. The Australian Stock Exchange (ASX) All Ordinaries price index from 1980-2005.

Brailsford et al. (2008) note that their price index data up to December 1957 was the same as the stock return data developed by Don Lamberton. Lamberton retrospectively constructed stock price index data from January 1875 to December 1957.  Lamberton’s data consisted of two series. 

  1. The Commercial Industrial price index from January 1875-June 1936.
  2. The All Ordinary Shares price index from July 1936-December 1957.

Brailsford et al. (2008) took the December values of the long-term stock price index each year to form their historical stock price index series from 1883-2005. Similarly, they formed their historical stock accumulation index series for each calendar year from 1883-2005.  The Accumulation index series differed from the price index series as it incorporated estimates of historical dividend yields. 

Brailsford et al (2012) added to their previous work by expanding their stock market series to 2010. They expanded their series by:

Stock Accumulation/Price Index Returns: Setting the 2006-2010 Accumulation/Price index annual values to the average value of the All Ordinaries Accumulation/Price Index in each December. The data was sourced from the Australian Securities Exchange. 

Bond Returns: Setting the 2006-2010 annual values equal to the yield at the end of each December. The data was sourced from the RBA website.

Inflation: Setting the 2006-2010 value equal to the December year end values of the ‘CPI All Groups Weighted Average of Eight Capital Cities’ for the respective years. The data was sourced from the ABS. 

A schematic of the Brailsford et al. (2012) data aggregation can be seen below.

The data published on this site further expands on the Brailsford et al. (2012) data series. 

The stock, bond, and inflation annual return values from 1883-2010 are taken directly from Brailsford et al. (2012). Then, the same methodology was used to create stock, bond, and inflation values for the years 2011-2018. 

Specifically, the data series was expanded by:

Stock Accumulation/Price Index Returns: Setting the 2011-2018 Accumulation index annual values to the average value of the All Ordinaries (Total Return) Index in each December. Setting the 2011-2018 price index annual values to the average value of the All Ordinaries (Price Return) Index in each December. The data was sourced from the S&P Down Jones Indices.

Bond Returns: Setting the 2011-2018 annual values equal to the Australian Government 10 year bond yield at the end of each December. The data was sourced from the Capital Market Yields – Government Bonds – Monthly – F2.1 data series on the RBA’s website.

Inflation: Setting the 2011-2018 value equal to the December year end values of the ‘CPI All Groups Weighted Average of Eight Capital Cities’ for the respective years. The data was sourced from the ABS CPI: Groups, Weighted Average of Eight Capital Cities, Index Numbers series.