Lucio Sarno and Giorgio Valente, "Modeling and Forecasting Stock Returns:
Exploiting the Futures Market, Regime Shifts and International Spillovers,"
Journal of Applied Econometrics, Vol. 20, No. 3, 2005, pp. 345-376.

The data used in the paper can be found in the file spotfutures.txt, which
is an ASCII file in DOS format. To conserve disk space, this file is zipped
in the file spotfutures.zip.

All time series in spotfutures.txt are expressed in logs.  The series are
defined as follows:

     DD: Day
     MM: Month
     YY: Year
  LJAPS: NIKKEI 225 spot prices
  LJAPF: NIKKEI 225 future prices
   LUKS: FTSE 100 spot prices
   LUKF: FTSE 100 futures prices
   LUSS: S&P 500 spot prices
   LUSF: S&P 500 futures prices
   BJAP: NIKKEI 225 futures basis
    BUK: FTSE 100 futures basis
    BUS: S&P 500 futures basis

The futures bases are calculated using the procedure of Low, Muthuswamy,
Sakar and Terry (2002) as described in the main text of the paper.  

All time series relative to spot and futures prices are obtained from
Datastream. For a more precise description of the sources and definition of
the time series, see the data section of the paper.

For spotfutures.txt, the time period is 1989:1 to 2002:52 and the order of
the series (by observation) is as follows: DD, MM, YY, LJAPS, LJAPF, LUKS,
LUKF, LUSS, LUSF, BJAP, BUK, BUS.