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

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  • Nyberg, Peter
  • Vaihekoski, Mika

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 another index becomes available. When combined, they can be used to study continuously the development of the Finnish equity market from the beginning of the stock exchange 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 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.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:riibaf:v:24:y:2010:i:3:p:267-283
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    References listed on IDEAS

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    1. 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.
    2. Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
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    Cited by:

    1. 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.
    2. Vaihekoski, Mika, 2008. "History of finance research and education in Finland : the first thirty years," Research Discussion Papers 18/2008, Bank of Finland.
    3. B.T. Katangodage & A.W. Wijeratne, 2016. "Value-weighted price return index for plantation sector of Colombo Stock Exchange of Sri Lanka," International Journal of Agricultural Resources, Governance and Ecology, Inderscience Enterprises Ltd, vol. 12(1), pages 27-52.
    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.
    5. Nyberg, Peter & Vaihekoski, Mika, 2014. "Descriptive analysis of the Finnish stock market : Part II," Research Discussion Papers 10/2014, Bank of Finland.

    More about this item

    Keywords

    Stock market index Finland Helsinki Stock Exchange Nasdaq OMX Unitas History;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-

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