This has been a little project to be able to download stock data from Yahoo! Japan Finance quickly for analysis in R. The code has been accepted into the quantmod library. You can find it included, starting in version 0.4-3, which can be installed from R-Forge.
As it has not been updated on CRAN yet, you can install quantmod from R-Forge with the following command in your R console:
install.packages("quantmod", repos="http://R-Forge.R-project.org")
First, load the quantmod library:
library(quantmod)
To choose the Yahoo! Japan source, specify the src="yahooj" parameter when you use getSymbols.
To download for example Sony (6758) stock data starting from January 2013, use the following code:
getSymbols("6758.T", src="yahooj", from="2013-01-01")
Since Japanese stock tickers often start with a number, it is not possible to keep the stock symbol as the name of the variable, so I have had to prepend it with "YJ". If auto-assigning into the environment is enabled, which it is by default, then you will find a new variable called YJ6758.T in your environment.
For more information on how to use the getSymbols function, or more specifically the getSymbols.yahooj function, please refer to the R Help system.