A new value-weighted total return index for the Finnish stock market
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Bank of Finland in its series Research Discussion Papers with number 21/2009.
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.
stock market index; Finland; Helsinki Stock Exchange; Nasdaq OMX; OMXH; Unitas;
Other versions of this item:
- Nyberg, Peter & Vaihekoski, Mika, 2010. "A new value-weighted total return index for the Finnish stock market," Research in International Business and Finance, Elsevier, vol. 24(3), pages 267-283, September.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-31 (All new papers)
- NEP-FMK-2009-10-31 (Financial Markets)
- NEP-HIS-2009-10-31 (Business, Economic & Financial History)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
- 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.
- Mika Vaihekoski, 2011. "History of financial research and education in Finland," European Journal of Finance, Taylor and Francis Journals, vol. 17(5-6), pages 339-354.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Minna Nyman).
If references are entirely missing, you can add them using this form.