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Yahoo finance provides historical EOD data for several markets including US exchanges (NYSE, NASDAQ, OTCBB, Pink Sheets), EURONEXT exchanges, Sao Paulo Stock Exchange, National Stock Exchange, Bombay Stock Exchange... Traders may use this item to retrieve EOD data for all stocks listed on one of the exchanges that are supported by Yahoo.
The difference between this yahoo downloader and the Yahoo EOD historical quotes, is in the way quotes on empty volume days are handled. For illiquid stocks, the reported historical quotes on trading days with no volume are often erratic. The script I have included detect days where no trading activity occurred; it then updates the open, high, low and close fields with the previous day data. The result produced by this script is much cleaner.
For example, historical data for the following ticker symbol (BAHI3.SA) looks like this:
26-Mar-10 - Close Price: 5.00 - Volume: 0
25-Mar-10 - Close Price: 5.00 - Volume: 0
24-Mar-10 - Close Price: 59.00 - Volume: 100
23-Mar-10 - Close Price: 58.49 - Volume: 200
The script, which is automatically executed after the download of stocks data is complete, transforms this data into:
26-Mar-10 - Close Price: 59.00 - Volume: 0
25-Mar-10 - Close Price: 59.00 - Volume: 0
24-Mar-10 - Close Price: 59.00 - Volume: 100
23-Mar-10 - Close Price: 58.49 - Volume: 200