DATA RESOURCE CENTRE - HELP PAGES
TSE DATA
CFMRC Summary Information Databases (of
TSE data) is the product of the Canadian Financial Markets Research Center and Western
Business School. It is a complete amalgamation and enhancement of the TSE-UWO database
products.
ACCESS:
Access to the University of Guelph community for non-commercial
use is available in-house only in the Data Resource Centre office, Level 0 RM 061
McLaughlin Library as well as on three networked machines located outside the DRC office.
DATA DESCRIPTION:
There are six different types of TSE & CFMRC data in the CFMRC databases.
NOTE: The following list contains the
segments of data purchased to date:
| DAILY INDEX DATA | MONTHLY INDEX DATA |
| TSE 300 Price Index | Month End |
| TSE 300 Total return Index | TSE 300 Price Index |
| TSE Group Indices: Price & Total Return | TSE 300 Total Return Index |
| CFMRC Equal Weighted Index | TSE Group Indices: Price & Total Return |
| CFMRC Value Weighted Index | CFMRC Equal Weighted Index |
| CFMRC Under $2 Equal Weighted Index | CFMRC Value Weighted Index |
| CFMRC Under $2 Value Weighted Index | T-Bill Rate |
| CFMRC Over $2 Equal Weighted Index | Long-Term Government Bond Rate |
| CFMRC Over $2 Value Weighted Index | Corporate Bond Rate |
| Call Loan Rate | Foreign Exchange Rate (CA/US$) |
| Foreign Exchange Rate (CA/US$) | T-Bill Return |
| Long Term Government Bond Return |
| MONTHLY TRADING DATA | DAILY TRADING DATA |
| Closing Price | Closing Price |
| Shares Outstanding | PRICE ADJUSTMENTS DATA |
| STOCK HEADER INFORMATION | Dividend |
| Stock Name | Dividend Type |
| Ticker | Ex-dividend Date |
| Usage Number | Recapitalizations |
| Business | DAILY CALENDAR/INDEX FILE |
| Foreign Based | MONTHLY CALENDAR/INDEX FILE |
| Starting Relative Calendar Day | TICKER & NAMES FILE |
| Number of Days | |
| Starting Relative Calendar Month | |
| Number of Months | |
| Number of Price Adjustments |
SEARCHING:
SAVING:
CFMRC DATA (TSE) - REFERENCE INFORMATION
| DAILY INDEX DATA | DESCRIPTION |
| TSE 300 Price Index | closing TSE 300 Composite Price Index - based solely on security prices |
| TSE 300 Total return Index | closing TSE 300 Composite Total Return Index - based on prices & distributions (stocks, dividends, etc.) |
| TSE Group Indices: Price & Total Return | daily closing values for all 14 TSE Group Indices - based on closing prices (Price) or including distributions (Total Return) |
| CFMRC Equal Weighted Index | average daily return for all domestic common equities int the CFMRC databases |
| CFMRC Value Weighted Index | market value weighted average daily return for all domestic common equities in the CFMRC database. |
| CFMRC Under $2 Equal Weighted Index | similar to CFMRC Equal Weighted Index but includes only those securities falling below $2 on current or previous trading day |
| CFMRC Under $2 Value Weighted Index | similar to CFMRCValue Weighted Index but includes only those securities falling below $2 on current or previous trading day |
| CFMRC Over $2 Equal Weighted Index | similar to CFMRC Equal Weighted Index but includes only those securities not falling below $2 on current or previous trading day |
| CFMRC Over $2 Value Weighted Index | similar to CFMRC Value Weighted Index but includes only those securities not falling below $2 on current or previous trading day |
| Call Loan Rate | Canadian over-night wholesale money market interest rate. (CANSIM series B114011) |
| Foreign Exchange Rate (CA/US$) | daily closing spot exchange rate expressed as Canadian dollars per U.S. dollar. (CANSIM series B100014) |
| MONTHLY INDEX DATA | |
| Month End | last trading day in the month |
| TSE 300 Price Index | closing TSE 300 Composite Price Index-based solely on security prices |
| TSE 300 Total Return Index | closing TSE 300 Composite Total Return Index - based on prices & distributions (stocks, dividends, etc.) |
| TSE Group Indices: Price & Total Return | monthly closing values for all 14 TSE Group Indices - based on closing prices (Price) or including distributions (Total Return) |
| CFMRC Equal Weighted Index | average monthly return for all domestic common equities in the CFMRC database. |
| CFMRC Value Weighted Index | market value weighted average monthly return for all domestic common equities in the CFMRC database |
| T-Bill Rate | average yield on 91 day Gov't of Canada T-bills based on the weekly auctions (CANSIM series B14007) |
| Long-Term Government Bond Rate | average yield on portfolio of 10+year Gov't of Canada (GOC) bonds (CANSIM series B14013) |
| Corporate Bond Rate | average yield on portfolio of high grade, long term corporate bonds (CANSIM series B14048) |
| Foreign Exchange Rate (CA/US$) | average noon spot exchange rated expressed as Cdn dollars per U.S. dollar (CANSIM series B3400) |
| T-Bill Return | return on 91 day T-bill pruchased at end of last month & sold end of this month |
| Long Term Government Bond Return | return on long term GOC bond with assumed maturity of 17 years purchased end of last month & sold end of this month |
| STOCK HEADER INFORMATION | |
| Stock name | most recent name of firm issuing stock |
| Ticker | most recent ticker symbol |
| Usage Number | ticker symbols are reused, therefore, unique usage numbers are assigned to ticker symbols |
| Business | description of type of business of firm |
| Foreign Based | flag to identify foreign-based versus domestic firms. |
| Starting Relative Calendar Day | relative daily calendar number of the first day of the security |
| Number of Days | number of daily data records |
| Starting Relative Calendar Month | relative monthly calendar number of the first month of data for the security |
| Number of Months | number of monthly data records |
| Number of Price Adjustments | number of price adjustment records (dividends, splits, etc) |
| DAILY TRADING DATA | |
| Opening Price | price of the first transaction after market opened |
| Opening Bid | last bid price before the market opened |
| Opening Ask | last ask price before the market opened |
| Closing Price | price of the last transaction of the day |
| Closing Bid | bid price for the last quote of the day |
| High | highest price at which security traded that day |
| Low | lowest price at which security traded that day |
| Return | fully adjusted daily return calculated as if security was purchased at close yesterday & sold at close today |
| Transactions | number of transactions in this security on day t. |
| Volume | total volume transacted in this stock on day t. |
| Quotes | number of valid market quotes posted throughout the day on stock |
| Quote Changes | number of times valid market quoted prices changed throughout the day |
| MONTHLY TRADING DATA | |
| Closing Price | last trade price from the last two days of trading in a given month |
| Return | fully adjusted return based on purchasing a share at last month's close & selling it at this month's close |
| EPS | quarterly earnings per share as reported by TSE |
| Beta | rolling average beta from the CAPM |
| Transactions | total number of transactions in this month |
| Total Volume | total volume transacted in this month |
| Shares Outstanding | total shares outstanding at month end |
| Dividend Flag | flag to indicated whether a price adjustment occurred this month |
| PRICE ADJUSTMENTS DATA | |
| Dividend | decimal amount whose meaning depends on contents of Dividend Type flags |
| Dividend Type | three flags that indicated type of dividend and the format of the dividend field |
| Ex-dividend Date | date upon which the security began trading ex-dividend or ex-split |
| Recapitalizations | for recapitalizations or reclassifications the dividend field is -9.0 |
1999/03 cp