ارزش وزن کل شاخص بازده جدید برای بازار سهام فنلاند

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 another index becomes available. When combined, they can be used to study continuously the development of the Finnish equity market from the beginning of the stock exchange 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 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.

Studies on the long-term development of stock markets around the world have become more popular lately as the interest on the equity risk premium has increased (see, e.g., Dimson et al., 2002). As a result, a number of researchers have constructed local stock market indices for countries where the only available indices have not been suitable for research purposes or they have not been available at all (see, e.g., Belter et al., 2005 and Frennberg and Hansson, 1992, who constructed stock market indices for Denmark and Sweden, respectively).1 Studies on the long-term development of the Finnish stock market have been scarce, mainly because there has not been a total return stock market index available before 1970. The only available indices have been Poutvaara (1996) index and the SYP/Unitas index (henceforth Unitas index). The former index has covered period from 1912 to 1929, and the latter from January 1928 onwards. However, they are not exactly value-weighted, they do not cover all stocks, and, most importantly, they are basically price indices as they do not capture the returns due to dividends. The purpose of this paper is to develop a new, total return, all-share stock market index for the Finnish stock market that covers the period from the opening of the Helsinki Stock Exchange in October 1912 to the beginning of 1970, when another total return index becomes available. As a result of this study, when our index is combined with the WI-index for 1970–1990 (by Berglund et al., 1983), and the Helsinki Stock Exchange's own HEX yield index (later OMX Helsinki All-Share gross index, OMXH) from December 28, 1990 onwards, one can create an unbroken total return stock market index which uses basically the same construction methodology throughout the period. Using the index, one can study the behavior of the Finnish stock market for a period of close to 100 years. When chained with the index calculated by Poutvaara (1996) using unofficial auction price quotations for three banks for 1886–1912, one can study a period lasting more than 120 years. In general, the index can be used to measure the returns an equity investor would have received on his investment in the Finnish stock market. In addition, an unbroken stream of stock market returns over a long historical period of almost 100 years allows one to study a number of questions that cannot be studied using data on shorter periods. For example, many stock market anomalies and evidence on mean reversion are easier to detect in long samples. Long-term data makes it also possible to compare the stock market development in different countries, especially outside the USA, which has been the focus in many earlier studies due to the availability of high-quality data. Furthermore, in addition to the standard total return value-weighted index, we also calculate several additional indices that can be used to augment the picture of the stock market development obtained by studying only one index. Finally, the stock market also plays a role in many economic models, and as such, the availability of stock market data collected during the index construction process for Finland can also foster further research on long-term macroeconomic issues. The rest of this paper is organized as follows. Section 2 explains the data collection procedure and the index construction methodology. Section 3 presents the indices that we create, gives descriptive statistics for them, and compares our indices and their construction methodology against that of the Unitas and Poutvaara (1996) indices. We also discuss some robustness issues in the construction process. Finally, section 4 concludes and gives suggestions for further research.

This paper has constructed an all-share, total return market value-weighted index for the Finnish stock market that covers a period from the beginning of the official opening of the stock market in 1912 to the beginning of 1970 when an another total return index becomes available. In addition, several different versions of the index were also constructed.33 When combined with Poutvaara's (1996) index for 1896–1912, the WI-index for 1970–1990, and the HEX/OMX index from 1991 to the present day, one can analyze the development of the Finnish stock market for more than 100 years. The stock market index has potentially many uses. For example, it can be used to study the behavior of the Finnish equity risk premium. Furthermore, one can study the volatility of the stock market and the sources of risks that are priced on the market. Using the collected data, it is also possible to calculate other interesting variables. For example, one can calculate the monthly total market capitalization value for all of the companies (MCAP), the amount of capital raised, and e.g., a measure for the concentration on the market (say, ratio of the market cap of the largest 10 companies to the MCAP). In addition, one can easily calculate a measure for the role of the stock market in the economy by dividing MCAP with the total value of the GDP. Third, the data allows one to calculate the value-weighted dividend yield for the whole market. It has been commonly used as a measure of the overall pricing level of the market and as a predictor for long-term (three to five year) asset returns. At the same time, one could also compare the magnitude of capital gains against the dividend yield over long periods. However, these questions and variables are left to future studies.