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Descriptive analysis of Finnish equity, bond and money market returns

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Author Info

  • Nyberg, Peter

    ()
    (Aalto University School of Economics, Department of Finance)

  • Vaihekoski, Mika

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

Abstract

This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money markets as well as inflation. The series are analysed to calculate the statistical characteristics of the returns investors would have received in these markets. We also survey existing literature concerning the history of these markets and review the main developments to facilitate future research on the long-term development of the Finnish markets. Using a new total return stock market index for Finland in an approach similar to Mehra and Prescott (2003), we find the equity premium for Finland to be 10.14 per cent from 1913 to 2009.

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File URL: http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/BoF_DP_1114.pdf
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Bibliographic Info

Paper provided by Bank of Finland in its series Research Discussion Papers with number 14/2011.

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Length: 63 pages
Date of creation: 26 May 2011
Date of revision:
Handle: RePEc:hhs:bofrdp:2011_014

Contact details of provider:
Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/
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Related research

Keywords: equity market; bond market; money market; risk premium; Finland; Helsinki Stock Exchange; performance;

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References

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  1. Dimson, Elroy & Marsh, Paul, 2001. "U.K. Financial Market Returns, 1955-2000," The Journal of Business, University of Chicago Press, vol. 74(1), pages 1-31, January.
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Cited by:
  1. Vaihekoski, Mika, 2008. "History of finance research and education in Finland: The first thirty years," Research Discussion Papers 18/2008, Bank of Finland.
  2. Paloviita, Maritta & Kinnunen, Helvi, 2011. "Real time analysis of euro area fiscal policies: adjustment to the crisis," Research Discussion Papers 21/2011, Bank of Finland.
  3. 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.
  4. Nyberg, Peter & Vaihekoski, Mika, 2014. "Descriptive analysis of the Finnish stock market: Part II," Research Discussion Papers 10/2014, Bank of Finland.
  5. Waldenström, Daniel, 2014. "Swedish stock and bond returns, 1856–2012," Working Paper Series 2014:5, Uppsala University, Department of Economics.
  6. Waldenström, Daniel, 2014. "Swedish Stock and Bond Returns, 1856–2012," Working Paper Series 1027, Research Institute of Industrial Economics.

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