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A Swedish Real Estate Stock Market Index, 1939-1998

Author

Listed:
  • Graflund, Andreas

    (Department of Economics, Lund University)

Abstract

This paper presents a new index for Sweden computed using a new time-series of 60 years of monthly returns of real estate stocks from 1939 to the present. The computation of the index is explained along with some general statistics. We find that the financial crisis of 1990-92 and the subsequent economic turmoil had a devastating effect on the real estate stock market. The returns are subject to kurtosis and skewness, especially during the last decade of the period. The Swedish real estate stock market was less sensitive than the Swedish stock market index. This new index offers a valuable data set for future research in financial economics as well as other disciplines.

Suggested Citation

  • Graflund, Andreas, 2000. "A Swedish Real Estate Stock Market Index, 1939-1998," Working Papers 2000:7, Lund University, Department of Economics, revised 17 May 2001.
    • Handle: RePEc:hhs:lunewp:2000_007
    as

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    More about this item

    Keywords

    Real Estate; Real Estate Index; Stock Market;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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