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

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Author Info

  • Nyberg , Peter

    ()
    (Hanken School of Economics, Department of Finance and Statistics)

  • Vaihekoski, Mika

    ()
    (Turku School of Economics (TSE) and Lappeenranta University of Technology (LUT), School of Business)

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 the WI index by Berglund et al (1983) and later in December 1990, the Exchange’s own HEX index are available. When combined, these can be used to study the development of the Finnish equity market without a break from the beginning of the stock market 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 new 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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File URL: http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/0921netti.pdf
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Bibliographic Info

Paper provided by Bank of Finland in its series Research Discussion Papers with number 21/2009.

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Length: 61 pages
Date of creation: 08 Sep 2009
Date of revision:
Publication status: Published as Nyberg, Peter and Mika Vaihekoski, 'A new value-weighted total return index for the Finnish stock market' in Research in International Business and Finance, 2010, pages 267-283.
Handle: RePEc:hhs:bofrdp:2009_021

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Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/
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Keywords: stock market index; Finland; Helsinki Stock Exchange; Nasdaq OMX; OMXH; Unitas;

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  1. Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
  2. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005. "A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability," Research in International Business and Finance, Elsevier, vol. 19(1), pages 53-70, March.
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Cited by:
  1. Nyberg, Peter & Vaihekoski, Mika, 2014. "Descriptive analysis of the Finnish stock market: Part II," Research Discussion Papers 10/2014, Bank of Finland.
  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. 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.
  4. 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.

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