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Revisiting Stock Market Index for the Helsinki Stock Exchange 1912–1981

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  • Mika Vaihekoski

    (Turku School of Business, University of Turku, 20014 Turku, Finland)

Abstract

Stock market indices play a central role in portfolio and risk management and performance evaluation, as well as academic research. This paper presents a fully updated and extended stock market index for the Finnish stock market using new and updated historical databases that cover the period from the establishment of the Helsinki Stock Exchange in October 1912 to the end of 1981. In addition to the all-share market index, four industry indices are presented for the first time. The observed geometric mean market return is 1.034 percent per month (13.14% p.a.). Of the industry indices, the banking sector performed the worst as it was found to have clearly lagged behind in the market, whereas the paper and forest and the metal and manufacturing industries performed the best during the sample period. The results also highlight the importance of taking into account corporate capital actions—which are, historically, often the hardest information to obtain—as they can have a material effect on the index performance.

Suggested Citation

  • Mika Vaihekoski, 2024. "Revisiting Stock Market Index for the Helsinki Stock Exchange 1912–1981," JRFM, MDPI, vol. 17(3), pages 1-14, February.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:90-:d:1342221
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    References listed on IDEAS

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    1. Enrica Bolognesi & Giuseppe Torluccio & Andrea Zuccheri, 2013. "A comparison between capitalization-weighted and equally weighted indexes in the European equity market," Journal of Asset Management, Palgrave Macmillan, vol. 14(1), pages 14-26, February.
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