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While attempting to model the SPX index over time, I found a source here that purportedly has historical daily SPX data going back to 1789 which very likely seems to be backcasted since the ~500 stock version only came into being around 1957.

What I am more uncertain about is if the daily data from this source dating back to 1927 (when SPX was a ~200(?) stock index) is simply a linearly interpolated version of the monthly data at this time? since I have not seen many data sources claim to have daily data for SPX starting in 1927.

Additionally, when doing some exploratory data analysis, I found that there was notable, but still small autocorrelation (~0.1) at the first lag which I know could be from the market being less efficient during this period, but still seemed like it could be an artifact of interpolation.

QMath
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  • Yahoo Finance now also has daily data going to 1927 publicly available. I don't think it's interpolated though there can of course be concerns about accuracy. – fes Aug 12 '23 at 05:25
  • @fes oh yes, I think I saw that, thanks! I only avoided yahoo finance because, for some reason, there is a large string of days in around 1960 where the open price is 0 for all of them on their SPX data, as an aside, would you happen to know anything anout the date when they started recording OHLC prices for SPX versus just a single price and also if this single price that's displayed is the open, high, low, or close? Because on both yahoo finance and stooq, the Open, High, Low, and Close are all the same until ai think somewhere in the 1970s? – QMath Aug 12 '23 at 06:30
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    Does this answer your question? What data sources are available online? – Alper Aug 12 '23 at 06:56
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    @Alper Thank you for the reference! While that post is a wealth of information, I don't know if (and I very well could be wrong) it includes the level of specificity I need with regards to how SPX historical ohlc prices were recorded. – QMath Aug 12 '23 at 09:12
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    Open is not dependable for SPX data, and is not tradeable. Only after the introduction of S&P futures (1980's) is it possible to actually see the value of the S&P 500 at the time the market opens. – nbbo2 Aug 12 '23 at 11:07
  • Interesting point @nbbo2 ! Are you saying that the opening price of the SPX Index even after the futures were introduced is not very usable in a strategic sense and that the futures prices are a more actionable piece of information? (due to the more continuous trading hours, actually being tradable, etc.) – QMath Aug 12 '23 at 23:47

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