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"How do I find time series data for indices (Dow Jones, S&P 500, Nikkei, etc.)?"
answer:
Bloomberg’s World Equity Indices (WEI) provides data on all of the major global indices as well as many smaller exchanges and sector indices.
For more complete time series information, Datastream contains historical data for many global indices, in an easily downloadable format.
Thomson One Banker provides an easy format for finding and downloading historical prices for most of the major global indices. Just look for the Indices tab at the top of the screen.
The web sites of some indices and exchanges will list current and historical constituents.