Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1)

Revisiting Stock Market Index for the Helsinki Stock Exchange 1912–1981




Julkaisun tekijätVaihekoski Mika

KustantajaMDPI

Julkaisuvuosi2024

JournalJournal of Risk and Financial Management

Lehden akronyymiJRFM

Volyymi17

Julkaisunumero3

DOIhttp://dx.doi.org/10.3390/jrfm17030090

Verkko-osoitehttps://www.mdpi.com/1911-8074/17/3/90

Rinnakkaistallenteen osoitehttps://research.utu.fi/converis/portal/detail/Publication/387023226


Tiivistelmä

Stock market indices play a central role in portfolio and risk management and performance evaluation, as well as academic research. This paper presents a fully updated and extended stock market index for the Finnish stock market using new and updated historical databases that cover the period from the establishment of the Helsinki Stock Exchange in October 1912 to the end of 1981. In addition to the all-share market index, four industry indices are presented for the first time. The observed geometric mean market return is 1.034 percent per month (13.14% p.a.). Of the industry indices, the banking sector performed the worst as it was found to have clearly lagged behind in the market, whereas the paper and forest and the metal and manufacturing industries performed the best during the sample period. The results also highlight the importance of taking into account corporate capital actions—which are, historically, often the hardest information to obtain—as they can have a material effect on the index performance.


Ladattava julkaisu

This is an electronic reprint of the original article.
This reprint may differ from the original in pagination and typographic detail. Please cite the original version.




Last updated on 2024-01-03 at 10:45