I have monthly S&P index 500 returns data from Dec 2007 to jan 2018. I get the monthly returns for the period Jan 2008 to Dec 2017 by using the closing price on each month. i.e. (Closing price(t)-closing price(t-1))/closing price(t-1) *100.
But other variables in regressions are quarterly data from 2008-01-01 to 2017-04-01. Whats the correct way to convert these monthly stock returns to quarterly returns...?
Please advise.
You can check the basis for calculating the quarterly data that you have. If they are based on the closing prices at the end of each quarter, you may simplify your calculations by taking the end of first month price less end of third month price and divide the difference by the closing price of the third month, multiplied by 100. This will give you an approximate quarterly variation.
There are various methods. 1. Closing price of quarter minus beginning price of the quarter divided by beginning price of quarter. Method-2: Take simple sum of return of three months of 1st quarter and then next three months and so on. Method 3: take log return method for each quarter.
You must include the dividend yield into the return estimations.
Check:
http://us.spindices.com/indices/equity/sp-500
Then "Additional Info", and then "web files"
That is a free source for both, so you can compare it.
Maybe this database can help you: https://data.world/imf/international-financial-statis
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