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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.
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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
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Copyright
Copyright © European Association for Banking and Financial History e.V. 2020

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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

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