Browsing by Author "Vaihekoski, Mika"

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  • Nyberg, Peter; Vaihekoski, Mika (2009)
    Bank of Finland Research Discussion Papers 21/2009
    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 the WI index by Berglund et al (1983) and later in December 1990, the Exchange s own HEX index are available. When combined, these can be used to study the development of the Finnish equity market without a break from the beginning of the stock market 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 new 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.
  • Nyberg, Peter; Vaihekoski, Mika (2011)
    Bank of Finland Research Discussion Papers 14/2011
    This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money markets as well as inflation. The series are analysed to calculate the statistical characteristics of the returns investors would have received in these markets. We also survey existing literature concerning the history of these markets and review the main developments to facilitate future research on the long-term development of the Finnish markets. Using a new total return stock market index for Finland in an approach similar to Mehra and Prescott (2003), we find the equity premium for Finland to be 10.14 per cent from 1913 to 2009.
  • Nyberg, Peter; Vaihekoski, Mika (2014)
    Bank of Finland Research Discussion Papers 10/2014
    This paper continues the data collection procedure and analysis set forth in Nyberg and Vaihekoski (2009). A number of new time series that are commonly used in finance literature are collected, created, and analyzed for the first time. These series include, among others, monthly dividend yields and market capitalization values. The series are also compared with GDP to evaluate the overall role of the stock market in the Finnish economy. The value-weighted average dividend yield from 1912 to 1988 is 4.98%. The average stock market capitalization to GDP ratio is found to be 15.14%. JEL-classification: G10, G11, N24 Keywords: Stock market, financial history, dividend yield, capitalization values, trading turnover, Finland, Helsinki Stock Exchange, Nasdaq OMX
  • Fedorova, Elena; Vaihekoski, Mika (2008)
    BOFIT Discussion Papers 27/2008
    Published in Finance a uver-Czech Journal of Economics and Finance, 2009, vol.59, no.1,2-19
    We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, Czech Republic, Hungary, Bulgaria, Slovenia and Russia. Most of these markets display considerable segmentation; the aggregate emerging market risk, as opposed to global market risk, is the significant driver for their stock market returns. It also appears that currency risk is priced into stock prices. The difference between local and global interest rates can be used to model the time-variation in the betas for both sources of risk. JEL Classification: G12, G15, G32 Keywords: market integration, segmentation, asset pricing, emerging markets, Eastern Europe country risk
  • Vaihekoski, Mika (2008)
    Bank of Finland Research Discussion Papers 18/2008
    This paper reviews the first thirty years of finance research and education in Finland, starting with publication of the first dissertation in finance in 1977. That was also the year when the first department of finance was established in Finland - among the first in the Nordic countries. This review shows how Finnish financial education and research developed from a humble beginning to a level that brought international acclaim. This can be largely attributed to a number of talented and hard-working individuals but also to the decision for collaboration among the Finnish universities, as a means to overcome some of the problems of a small country. Keywords: financial education, research, graduate school, Finland, history, professors, dissertation JEL classification numbers: A23, B25, G00