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A new value-weighted total return index for the Finnish stock market

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  • Nyberg, Peter
  • Vaihekoski, Mika

Abstract

This paper presents a new monthly value-weighted, all-share total return index for the Finnish stock market. The index covers the period from the establishment of the Helsinki Stock Exchange in October 1912 to the beginning of 1970, after which another index becomes available. When combined, they can be used to study continuously the development of the Finnish equity market from the beginning of the stock exchange until the present day. We also provide a detailed description of the construction methodology and a comparison between our index and those available earlier. The index replaces the Unitas price index which has been the only index available for long-term studies from 1928 onwards. The new index also provides an alternative to the book equity weighted Poutvaara (1996) price index for the period 1912-1929.

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Bibliographic Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 24 (2010)
Issue (Month): 3 (September)
Pages: 267-283

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Handle: RePEc:eee:riibaf:v:24:y:2010:i:3:p:267-283

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Web page: http://www.elsevier.com/locate/ribaf

Related research

Keywords: Stock market index Finland Helsinki Stock Exchange Nasdaq OMX Unitas History;

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References

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  1. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  2. Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
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Citations

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Cited by:
  1. Mika Vaihekoski, 2011. "History of financial research and education in Finland," The European Journal of Finance, Taylor & Francis Journals, vol. 17(5-6), pages 339-354.
  2. Antell, Jan & Vaihekoski, Mika, 2012. "Pricing currency risk in the stock market: Evidence from Finland and Sweden 1970–2009," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 120-136.
  3. Nyberg, Peter & Vaihekoski, Mika, 2014. "Descriptive analysis of the Finnish stock market: Part II," Research Discussion Papers 10/2014, Bank of Finland.
  4. Jan Antell & Mika Vaihekoski, 2011. "Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009," Discussion Papers 63, Aboa Centre for Economics.

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