Scandinavian Working Papers in Economics

Working Papers,
Lund University, Department of Economics

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

Andreas Graflund ()
Additional contact information
Andreas Graflund: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden

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

JEL-codes: G10; G12; G14

21 pages, First version: September 1, 2000. Revised: May 17, 2001. Earlier revisions: January 4, 2001, December 12, 2000, May 22, 2001.

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