A New Value-Weighted Total Return Index for the Finnish Stock Market

64 Pages Posted: 27 Nov 2009

See all articles by Peter M. Nyberg

Peter M. Nyberg

Aalto University

Mika Vaihekoski

University of Turku, Turku School of Economics; University of Turku - Turku School of Economics

Date Written: November 25, 2009

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

JEL Classification: G10, N24

Suggested Citation

Nyberg, Peter Mikael and Vaihekoski, Mika and Vaihekoski, Mika, A New Value-Weighted Total Return Index for the Finnish Stock Market (November 25, 2009). Bank of Finland Research Discussion Paper No. 21/2009, Available at SSRN: https://ssrn.com/abstract=1513191 or http://dx.doi.org/10.2139/ssrn.1513191

Peter Mikael Nyberg

Aalto University ( email )

P.O. Box 21210
Helsinki, 00101
Finland

Mika Vaihekoski (Contact Author)

University of Turku - Turku School of Economics ( email )

Turku, 20014
Finland

HOME PAGE: http://users.utu.fi/moovai/

University of Turku, Turku School of Economics ( email )

Turku School of Economics
Dep. of Accounting and Finance
University of Turku, 20014
Finland
+358 2 33351 (Phone)

HOME PAGE: http://users.utu.fi/moovai/

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