稀疏股票市场的表现和发展：1912年至2017年斯德哥尔摩证券交易所

IF 0.4 Q3 HISTORY OF SOCIAL SCIENCES

Financial History Review Pub Date : 2020-09-10 DOI:10.1017/S0968565020000104

Kristian Rydqvist, R. Guo

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引用次数: 7

摘要

我们在一个新构建的每日股价数据集中估计了瑞典上市公司的历史股票回报率，该数据集跨越了100多年。股票回报呈现出所有熟悉的特征。公共部门的增长抑制了股票市场，而全球化的进程使其恢复了活力。银行在股票市场的早期发展中发挥了重要作用。过去几乎没有交易，我们研究了缺失数据对回报衡量的影响。股票选择和通过回溯程序或限价单替换缺失的交易价格对价值加权股票价格指数的影响很小，而忽略资本运营的价格效应则会产生很大的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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来源期刊

Financial History Review HISTORY OF SOCIAL SCIENCES-

CiteScore

1.00

自引率

0.00%

发文量

期刊介绍： Financial History Review is the international forum for all scholars with interests in the development of banking, finance, and monetary matters. Its editors deliberately seek to embrace the broadest approach to publishing research findings within this growing historical specialism. Articles address all aspects of financial and monetary history, including technical and theoretical approaches, those derived from cultural and social perspectives and the interrelations between politics and finance. These presentations of current research are complemented by somewhat shorter pieces, specifically conceived as aids to research. Each issue contains a substantial review section, and every complete volume contains an annual bibliography.