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

  • Nyberg , Peter


    (Hanken School of Economics, Department of Finance and Statistics)

  • Vaihekoski, Mika


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

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 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.

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Paper provided by Bank of Finland in its series Research Discussion Papers with number 21/2009.

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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.
Handle: RePEc:hhs:bofrdp:2009_021
Contact details of provider: Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
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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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