Hostname: page-component-5c6d5d7d68-wpx84 Total loading time: 0 Render date: 2024-09-01T20:06:25.552Z Has data issue: false hasContentIssue false
  • English
  • Français

Performance and development of a thin stock market: the Stockholm Stock Exchange 1912–2017

Published online by Cambridge University Press:  10 September 2020

Kristian Rydqvist  and
Rong Guo
Kristian Rydqvist*
Affiliation:
Binghamton University
Rong Guo
Affiliation:
Binghamton University
*
Corresponding author: Dr Kristian Rydqvist, Binghamton University, State University of New York, 4400 Vestal Parkway East, Binghamton, NY13902, United States; email: rydqvist@binghamton.edu; Dr Rong Guo, email: rguo8@binghamton.edu.
Get access Rights & Permissions [Opens in a new window]

Abstract

We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices that spans more than 100 years. Stock returns exhibit all the familiar characteristics. The growth of the public sector depressed the stock market, and the process of globalization revitalized it. Banks played an important role in the early development of the stock market. There was little trading in the past, and we examine the effects on return measurement from missing data. Stock selection and the replacement of missing transaction prices through search back procedures or limit orders make little difference to a value-weighted stock price index, while ignoring the price effects of capital operations makes a big difference.

Keywords

stock market indexincome taxbanking sectorstock selectionmissing valuessplit factorsrights offers

JEL classification

N24: Europe: 1913– G12: Asset Pricing • Trading Volume • Bond Interest Rates
Type
Articles
Information
Financial History Review , Volume 28 , Issue 1 , April 2021 , pp. 26 - 44
Check for updates
Copyright
Copyright © European Association for Banking and Financial History e.V. 2020

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

We are grateful to two anonymous referees, seminar participants at Binghamton University and Mika Vaihekoski for comments, and to the Torsten Söderberg Foundation for financial support.

References

Belfrage, K. (1918). Stockholms fondbörs – historisk och statistisk redogörelse 1917–1918. Stockholm: AB Fahlcrantz Boktryckeri.Google Scholar
Dimson, E., Marsh, P. and Staunton, M. (2016). Credit Suisse Global Investment Returns Sourcebook. Zurich: Credit Suisse Research Institute.Google Scholar
Fama, E. F. and French, K. R. (2001). Disappearing dividends: changing firm characteristics or lower propensity to pay? Journal of Financial Economics, 60, pp. 3–43.CrossRefGoogle Scholar
Fisher, L. and Lorie, J. H. (1977). A Half Century of Returns on Stocks and Bonds. Chicago: Graduate School of Business, University of Chicago.Google Scholar
Jagannathan, R. and Kocherlakota, N. R. (1996). Why should older people invest less in stocks than younger people. Federal Reserve Bank of Minneapolis Quarterly Review, 20, pp. 11–23.Google Scholar
Mehra, R. (2003). The equity premium: why is it a puzzle?. Financial Analysts Journal, 59, pp. 54–69.CrossRefGoogle Scholar
Rydqvist, K., Spizman, J. and Strebulaev, I. (2014). Government policy and ownership of equity securities. Journal of Financial Economics, 111, pp. 70–85.CrossRefGoogle Scholar
Siegel, J. J. (1994). Stocks for the Long Run – A Guide to Selecting Markets for Long-Term Growth. Burr Ridge, IL: Irwin.Google Scholar
Siegel, L. B. and Montgomery, D. (1995). Stock, bonds, and bills after tax and inflation. Journal of Portfolio Management, 21, pp. 17–25.CrossRefGoogle Scholar
Umlauf, S. R. (1993). Transaction taxes and the behavior of the swedish stock market. Journal of Financial Economics, 33, pp. 227–40.CrossRefGoogle Scholar
Waldenström, D. (2014). Swedish stock and bond returns, 1856–2012. IFN Working Paper no. 1027, Research Institute of Industrial Economics, Stockholm, Sweden.Google Scholar
Supplementary material: PDF

Rydqvist and Guo supplementary material

Appendix

Download Rydqvist and Guo supplementary material(PDF)
PDF 446.4 KB