You can also find a code to capture Yahoo Finance data into Matlab at the Matlab File Exchange sute. The code requires Java and the Financial Toolbox.
The file description from the original link follows:
This is the example code for the News and Notes article entitled "Internet Enabled Data Analysis and Visualization with MATLAB." It demonstrates how to use Java to retrieve and plot data publically available on the Internet, using historical stock data from the Yahoo! servers as an example. Note that the Yahoo! historical stock price server is often very busy during the US business day -- you may have trouble connecting. Try again after 4:30pm Eastern (US) Time.
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