How do I obtain daily index data? WRDS says we do not have Compustat Global Index Prices subscription.

It is true that we do not have subscription for that Compustat database, which would be used for indexes other than the CRSP indexes. Daily data for CRSP indexes is available from CRSP; however, only return data is provided (no levels). You would have to create your own level data from a reference level and string together the returns. Too much work. For this reason and for indexes other than the CRSP indexes (such as the DJIA, S&P 100, Shanghai, etc.) you will need to get the price data from any number of financial data websites (Yahoo Finance, Google Finance, ADVFN, etc.), or from the vendor. All have download tools.