Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-10T13:36:22.474Z Has data issue: false hasContentIssue false
  • English
  • Français

Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833–20051

Published online by Cambridge University Press:  27 September 2011

Jan Annaert ,
Frans Buelens ,
Ludo Cuyvers ,
Marc De Ceuster ,
Marc Deloof  and
Ann De Schepper
Jan Annaert
Affiliation:
University of Antwerp, jan.annaert@ua.ac.be
Frans Buelens
Affiliation:
University of Antwerp, frans.buelens@ua.ac.be
Ludo Cuyvers
Affiliation:
University of Antwerp and North-West University, South Africa
Marc De Ceuster
Affiliation:
University of Antwerp
Marc Deloof
Affiliation:
University of Antwerp and Université Catholique de Louvain
Ann De Schepper
Affiliation:
University of Antwerp
Get access Rights & Permissions [Opens in a new window]

Abstract

In this article, we calculate a market-weighted return index for the 20 largest stocks listed on the Brussels Stock Exchange over the period 1833–2005, based on a new, unique and high-quality database. We find that this index captures the most important stylised facts of the value-weighted return of all shares listed on the Brussels Stock Exchange in this period. Our results support the empirical practice of concentrating on just the largest stocks. The indices we construct are based on one of the longest Belgian time series available. The indices take into account the exact dividends, the timing of the dividend cash flows and all capital operations. We are therefore able to decompose total returns into capital gain returns and dividend returns, which is not possible with most historical return series. We show that, to construct a credible return index, it is crucial to fully take into account dividends.

Keywords

stock return indicesBrussels stock exchangecapital gaindividends
Type
Articles
Information
Financial History Review , Volume 18 , Issue 3 , December 2011 , pp. 277 - 308
Copyright
Copyright © European Association for Banking and Financial History e.V. 2011

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.)

References

References

Acheson, G. G., Hickson, C .R., Turner, J. D. and Ye, Q. (2009). Rule Britannia! British stock market returns, 1825–1870. Journal of Economic History, 69(4), pp. 1106–36.Google Scholar
Bairoch, P. (1982). International industrialization levels from 1750 to 1980. Journal of European Economic History, 11, pp. 269–312.Google Scholar
Baudhuin, F. (1958). Histoire Economique de la Belgique 1945–1956. Brussels: BruylantGoogle Scholar
Buelens, F. and Marysse, S. (2009). Returns on investments during the colonial era: the case of the Belgian Congo. The Economic History Review, 62(S:1), pp. 135–66.Google Scholar
Chlepner, B. S. (1930). Le marché financier belge depuis 100 ans. Brussels: Falk Fils.Google Scholar
Commission Des Agents De Change (1855). Fluctuations de la Bourse pendant une période de vingt ans 1835 à 1855 ou statistique des fonds publiques. Brussels: Van der Auwera.Google Scholar
Coppin, L. (1893–1901). Répertoire des Sociétés par actions dont les titres se négocient plus spécialement en Belgique. Brussels: Librairie de l'Economiste Internationale.Google Scholar
Courtois, A. (1855–83). Manuel des Fonds Publics et des Sociétés par Actions. Paris: Garnier Frères.Google Scholar
Cowles, A. AND Associates (1938). Common Stock Indexes, 1871–1937. Bloomington: Principia Press.Google Scholar
CRSP (2008). Data Description Guide: CRSP US Stock and CRSP US Indices Databases. Chicago: CRSP.Google Scholar
CRSP (2001). CRSP Delisting Returns. Chicago: CRSP.Google Scholar
Cuyvers, L. and Van Bets, P. (2009). De Belgische investeringen in het buitenland en hun rendement in de periode 1870–1913: een kwantificering aan de hand van de beurswaarde van de ondernemingen. Kwartaalschrift Economie, 6, pp. 189–210.Google Scholar
De Kerckhove De Denterghem, C. (1927). L'industrie Belge pendant l'occupation allemande 1914–1918. Paris and New Haven.Google Scholar
Delong, J. B. and Magin, K. (2009). The US equity return premium: past, present, and future. Journal of Economic Perspectives, 23, pp. 193–208.Google Scholar
Demeur, A. (1857–74). Les sociétés anonymes de Belgique, Collection complète des statuts collationnés sur les textes officiels. Brussels: Chez l'Editeur.Google Scholar
Demeur, A. (1876–84). Les sociétés commerciales. Actes et documents. Brussels: Chez l'Editeur (various issues).Google Scholar
Dimson, E., Marsh, P. and Staunton, M. (2002). Triumph of the Optimists. Princeton: Princeton University Press.CrossRefGoogle Scholar
Dupriez, L. (1930). Les méthodes d'analyse de la conjoncture économique et leur application à l'économie belge depuis 1897. Louvain: Librairie universitaire.Google Scholar
Fernandez, P. (2007). Equity premium: historical, expected, required and implied. Working Paper, Barcelona.Google Scholar
Fisher, L. and Lorie, J. H. (1964). Rates of return on investments in common stocks. Journal of Business, 37, pp. 1–21CrossRefGoogle Scholar
Fisher, L. and Lorie, J. H. (1968). Rates of return on investments in common stocks. Journal of Business, 41, pp. 291–316.Google Scholar
Fisher, L. and Lorie, J. H. (1977). A Half Century of Returns on Bonds and Stocks. Chicago: University of Chicago Press.Google Scholar
Frère, L. (1938). Etude historique des sociétés anonymes belges I. Brussels: Desmet-Verteneuil.Google Scholar
FRère, L. (1951). Etude historique des sociétés anonymes belges II. Brussels: Desmet-Verteneuil.Google Scholar
Generale Bank (1992). Evolutie van de Belgische rentetarieven sinds de onafhankelijkheid. Bulletin van de Generale Bank, 326–27, pp. 1–8 and pp. 11–16.Google Scholar
Gérard, M. L. (1928). Le dernier chapitre de l'assainissement financier de la Belgique. Revue Economique Internationale, 3, pp. 215–48.Google Scholar
Goetzmann, W., Ibbotson, R. and Peng, L. (2001). A new historical database for the NYSE 1815 to 1925: performance and predictability. Journal of Financial Markets, 4(1), pp. 1–32.Google Scholar
Grossman, R. S. (2002). New indices of British equity prices 1870–1913. Journal of Economic History, 62(1), pp. 121–46.Google Scholar
Homer, S. and Sylla, R. (1991). A History of Interest Rates. London and New Brunswick: Rutgers University Press.Google Scholar
Ibbotson Associates (2006). Stocks, Bonds, Bills, and Inflation. Yearbook. Chicago: Ibbotson Associates.Google Scholar
IRES (1957). Evolution des taux de l'intérêt en Belgique depuis la fin de la première guerre mondiale (1919–1958). Bulletin de l'Institut de Recherches Economiques et Sociales, 25, pp. 75–122.Google Scholar
Kurgan-Van Hentenryk, G. (1997). The Société Générale, 1850–1934. In Van der Wee, H. et al. (eds.), The Generale Bank 1822–1997. Tielt: Lannoo, pp. 65–286.Google Scholar
Laureyssens, J. (1975). Industriële naamloze vennootschappen in België 1819–1857. Louvain: Ed. Nauwelaerts.Google Scholar
Le Bris, D. and Hautcoeur, P. C. (2010). A challenge to triumphant optimists? A new index of the Paris stock exchange (1854–2007). Financial History Review, 2, pp. 1–43.Google Scholar
Maddison, A. (1995). Monitoring the World Economy 1820–1992. Paris: OECD.Google Scholar
Memmel, C. (2003). Performance hypothesis testing with the Sharpe ratio. Finance Letters, 1, pp. 21–3.Google Scholar
Michotte, F. (1937). L'évolution des prix de détail en Belgique de 1830 à 1913. Bulletin de l'Institut des Sciences Economiques, 8, pp. 346–57.Google Scholar
Mommen, A. (1994). The Belgian Economy in the Twentieth Century. London: Routledge.Google Scholar
National Bank of Belgium (1929). Statistiques économiques belges 1919–1928. Bulletin d'Information et de Documentation, April, pp. 1–85.Google Scholar
National Bank of Belgium (1929–90). Belgische Economische Statistieken. Brussels: National Bank of Belgium.Google Scholar
National Bank of Belgium (1951). Belgische Economische Statistieken 1941–1950. Brussels: National Bank of Belgium.Google Scholar
Neymarck, A. (1911). Les finances contemporaines. L'Epargne française et les valeurs mobilières 1872–1910. Paris: Félix Alcan.Google Scholar
Nicolai, E. (1921). Étude historique et critique sur la dette publique en Belgique. Brussels: Lamertin.Google Scholar
Peeters, W. (1998). Foreign direct investment within a reconstructed balance of payments: preliminary results for Belgium, 1879–1939. In Bovykin, V. et al. (eds.), Public Debt, Public Finance, Money and Balance of Payments in Debtor Countries 1890–1933. Seville: IEHC Congress, pp. 101–25.Google Scholar
Salomons, R. (2008). A theoretical and practical perspective on the equity risk premium. Journal of Economic Surveys, 22, pp. 299–329.Google Scholar
Sharpe, W. F. (1994). The Sharpe ratio. Journal of Portfolio Management, 21, 49–58.Google Scholar
Shumway, T. (1997). The delisting bias in CRSP data. Journal of Finance, 52(1), pp. 327–40.Google Scholar
Shumway, T. and Warther, V. A. (1999). The delisting bias in CRSP's Nasdaq data and its implications for the size effect. Journal of Finance, 54(6), pp. 2361–79.Google Scholar
Thiebuald, C. (1905). Comment former une statistique internationale des valeurs mobilières? In Congrès International d'Expansion Economique Mondial (ed.), Statistique Internationale. Brussels: J. Goemaere.Google Scholar
Trioen, L. F. B. (1839). Collection des statuts de toutes les sociétés anonymes et en commandite par actions de la Belgique. Brussels: Chez l'auteur.Google Scholar
Van Damme, E. (1859). Manuel du Financier des Opérations en Fonds Publics et des Sociétés par Actions en Belgique. Ghent: Verhulst.Google Scholar
Van De Velde, G. (1943). Le rendement des Placements (1865–1939). Louvain: Société d'études morales, sociales et juridiques.Google Scholar
Van Der Wee, H. (1997), De Generale Bank. Tielt: Lannoo.Google Scholar
Vanes, F. R. (1967). De markt van het schatkistpapier in België. Tijdschrift voor economie, 4, pp. 342–79.Google Scholar
Vanheurck, J. (1954). Les finances publiques pendant l'occupation allemande de 1940 à 1945. In Institut Belge de Finances Publiques (ed.), Histoire des Finances Publiques, 2. Brussels: Bruylant, pp. 401–39.Google Scholar
Vitu, A. (1864). Guide financier. Répertoire général des valeurs financières et industrielles cotées sur les bourses françaises et sur les principaux marchés de l'Europe, de l'Amérique et des Indes. Paris: Hachette.Google Scholar
Ye, Q. and Turner, J. D. (2010). Has the equity premium always been so high? Evidence from the UK, 1825–1913. Working Paper, Queen's University Belfast.Google Scholar

Sources

Belgium. Ministère des Affaires Etrangères, Relevé des côtes autorisées depuis l'arrêté Royal du 13 novembre 1840 (Brussels, 1867)Google Scholar
Belgium. Ministry of Economics, CPI-index 1920–2008 (Brussels, 2010) (www.statbel.fgov.be/indicators/cpi_nl.asp)Google Scholar
Belgium, ‘Prix Courant’, Moniteur Belge (Brussels, various issues)Google Scholar
Financieel-Economische Tijd (later on ‘De TIJD’), newspaper, various issuesGoogle Scholar
Het Handelsblad, newspaper, various issuesGoogle Scholar
Journal du Commerce d'Anvers, newspaper, various issuesGoogle Scholar
L'Avenir, newspaper, various issuesGoogle Scholar
Memento der Effecten, 1975–2005 (yearly issues)Google Scholar
Moniteur des Intérêts Matériels, newspaper, various issuesGoogle Scholar
Recueil Financier, 1893–1975 (Brussels, yearly issues)Google Scholar