Finnish stock price index 1901–2018
The aim of this project was to create a freely distributable, easily extendible Finnish stock price index for research purposes.
The data set contains monthly Finnish general stock market index from October 1912, when the Helsinki stock exchange opened, to October 2018. There are also annual observations from the stock auctions between the years 1901 and 1912.
The index is constructed by combining several indices (Mercator-1920, various Unitas, HEX and OMX) together (see the Excel file for details). All these indices are, to my best knowledge, price indices.
Data from the early days comes from the "Statistical Yearbook of the City of Helsinki" ("Helsingin kaupungin tilastollinen vuosikirja"). This previously little-known source features a general "index" and sector "indices" for five or six sectors. The word index is not used, but the statistics are clearly intended to reflect the overall movement of securities. How these "indices" are calculated is not described. I assume that they are based on monthly trading price (price-to-nominal value) averages without any weightings, just like Mercator-1919 ("Mercator-I") index (see Nyberg, Vaihekoski, 2009, page 50).
The data for my time series is picked from the above mentioned "Statistical Yearbook of the City of Helsinki" and "Tilastokatsauksia" ("Bulletin of Statistics") by Tilastokeskus ("Statistics Finland"). See details from the Excel file. Both publications have been distributed under the Creative Commons license ("Attribution 4.0 International" (CC BY 4.0)), https://creativecommons.org/licenses/by/4.0/ .
There are alternative, high-quality indices for the Finnish stock market spanning from October 1912. Poutvaara (1996) calculates Unitas index-like indices from 1912 to 1929 (and a sector index for banks, starting from 1896). Nyberg and Vaihekoski have published several papers on this topic. In their 2009 paper a monthly value-weighted, all-share total return and price indices covering the period from 1912 to 1969 is presented. In their 2014 paper the range is extended to 1991.
Clearly, these alternative indices, are better in many ways. They are more consistent when dealing with company events, dividends, and splits. They are also consistent with the chosen aggregation method, missing values, etc. In my combined time series, some source indices are based on end of month values whereas some others are based on average of daily observations, for example.
These time series are, unfortunately, either copyrighted and/or hard to find in computer readable format.
Extending the time series
It easy to add more recent values to the index because it has been rebased to October 2018 = 9496, the value of the OMX Helsinki 25 index in October 2018. New values can be taken, for example, from Bank of Finland's website and added to the spreadsheet.
Download Microsoft Excel file. License: Creative Commons Attribution 4.0 International (CC BY 4.0).
Similar time series for other countries
- U.S. Stock Markets 1871-Present and CAPE Ratio. Shiller, R.
- Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829-1929. Campbell, Gareth; Grossman, Richard S.; Turner, John D.
- Swedish stock and bond returns, 1856 - 2012. Waldenström, D.
- A monthly stock exchange index for Ireland, 1864-1930. Grossman, R. S., Lyons, R. C., O'rourke, K. H., & Ursu, M. A.
- A challenge to triumphant optimists? A blue chips index for the Paris Stock-Exchange (1854-2007). Le Bris, D., & Hautcoeur, P. C.
- Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833–2005. Annaert, J., Buelens, F., Cuyvers, L., De Ceuster, M., Deloof, M., & De Schepper, A.
- Helsingin kaupungin tilastollinen vuosikirja [Statistical Yearbook of the City of Helsinki]. https://www.hel.fi/static/tieke/digitoidut_asiakirjat/helsingin_kaupungin_tilastolliset_vuosikirjat/index.html
- Tilastokatsauksia [Bulletin of Statistics]. https://www.doria.fi/discover?scope=10024%2F161879
- Poutvaara, P. (1996). Pörssikurssien kehitys Suomessa 1896-1929: Uudet indeksisarjat ja niiden tulkinta. (The Development of Stock Prices in Finland 1896-1929: New Indices and their Interpretation). Bank of Finland, Discussion Paper 25/1996.
- Nyberg, P. - Vaihekoski, M. (2009). A new value-weighted total return index for the Finnish stock market. Bank of Finland, Discussion Papers Series, 21/2009.
- Nyberg, P. - Vaihekoski, M. (2014). Descriptive analysis of the Finnish stock market: Part II. Available at SSRN 2410221.