Philip Hans Franses, M. van der Leij, and Richard Paap, "Modeling and
Forecasting Level Shifts in Absolute Returns", Journal of Applied
Econometrics, Vol. 17, No. 5, 2002, pp. 601-616.

The file index.data contains the levels of 9 equity indices:

    Dow Jones Industrial Average
    Nasdaq Composite
    S&P 500 Composite
    Nikkei 225
    FTSE 100
    DAX Xetra
    CAC 40
    AEX
    Hang Seng
    
This file, which is an ASCII file in DOS format, is zipped in the file
flp-data.zip. Unix users should use "unzip -a".

Data are daily for the period 01-02-1989 to 12-29-2000
Original source: Datastream