Research Discussion Papers, Bank of Finland
No 21/2009:
A new value-weighted total return index for the Finnish stock market
Peter Nyberg ()
and Mika Vaihekoski ()
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 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.
Keywords: stock market index; Finland; Helsinki Stock Exchange; Nasdaq OMX; OMXH; Unitas; (follow links to similar papers)
JEL-Codes: G10; N24; (follow links to similar papers)
61 pages, September 8, 2009
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- This paper is published as:
-
Nyberg, Peter and Mika Vaihekoski, (2010), 'A new value-weighted total return index for the Finnish stock market', Research in International Business and Finance, Vol. 24, No. 3, pages 267-283
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