Shadow Economy & Corruption : Invisible Hands

Two of the more popular ones are DataStream by Thompson Financial (http://www.datastream.com/) and Wharton Research Data Services (http://wrds.wharton.upenn.edu/). With regards
to free data, a more limited choice of financial data is available through popular Internet
ports such as Yahoo! (http://finance.yahoo.com). The Federal Reserve Bank
of St Louis also maintains a free database with a wide variety of data, including
some financial time series (http://research.stlouisfed.org/fred2/). The Financial
Data Finder (http://www.cob.ohio-state.edu/fin/osudata.htm), provided by the
Fisher College of Business at the Ohio State University is also a useful source. Many
academics also make the data sets they have used available on their websites. For
instance, Robert Shiller at Yale University has a website which provides links to many
different interesting financial data sets (http://aida.econ.yale.edu/%7Eshiller/
index.html).
An extremely popular website among economists is “Resources for Economists
on the Internet” (http://rfe.wustl.edu/EconFAQ.html). This site contains all sorts
of interesting material on a wide range of economic topics, including links to many
sorts of financial data. On this site you can also find links to Journal Data Archives.
Many journals encourage their authors to make their data publicly available and,
hence, in some cases you can get financial data from published academic papers
through Journal Data Archives.

(tips from: Gary Koop,University of Strathclyde)