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Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2000:7:
A Swedish Real Estate Stock Market Index, 1939-1998

Andreas Graflund ()

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.

Keywords: Real Estate; Real Estate Index; Stock Market; (follow links to similar papers)

JEL-Codes: G10; G12; G14; (follow links to similar papers)

21 pages, September 1, 2000, Revised May 22, 2001

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This paper is published as:
Graflund, Andreas, (2001), 'A Swedish Real Estate Stock Market Index, 1939-1998', Scandinavian Economic History Review, Vol. XLIX, No. 1, pages 83-99



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