IDEAS home Printed from
   My bibliography  Save this article

Some distributional properties of monthly stock returns in Sweden 1919-1990


  • Per Frennberg

    (Department of Economics, University of Lund, Sweden)

  • Björn Hansson

    (Department of Economics, University of Lund, Sweden)


This paper examines the distributional properties of a newly constructed dataset oj monthly returns on the Swedish stock market. The standard assumptions that stock returns are log-normally distributed, serially independent, non-seasonal and homoscedastic are all rejected by data. Swedish stock returns are more likely to belong to a peaked and fat-tailed distribution, with positive first order autocorrelation, strong seasonality and changing volatility over time. These results are well in line with what has been reported from other national stock markets. Our major conclusion is that, given the failure of data to meet the usual distributional assumptions in finance, it may be worthwhile to pay more attention to modeling both the return generating process and the volatility generating process for the market index, instead of simply assuming a strict random walk model.

Suggested Citation

  • Per Frennberg & Björn Hansson, 1993. "Some distributional properties of monthly stock returns in Sweden 1919-1990," Finnish Economic Papers, Finnish Economic Association, vol. 6(2), pages 108-122, Autumn.
  • Handle: RePEc:fep:journl:v:6:y:1993:i:2:p:108-122

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Waldenström, Daniel, 2014. "Swedish Stock and Bond Returns, 1856–2012," Working Paper Series 1027, Research Institute of Industrial Economics.

    More about this item

    JEL classification:

    • 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


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fep:journl:v:6:y:1993:i:2:p:108-122. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Editorial Secretary). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.