Publication
Title
Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange, 1833-2005
Author
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 18332005, 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.
Language
English
Source (journal)
Financial history review. - Cambridge, 1994, currens
Publication
Cambridge : 2011
ISSN
0968-5650 [print]
1474-0052 [online]
Volume/pages
18:3(2011), p. 277-308
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
VABB-SHW
Record
Identification
Creation 03.11.2011
Last edited 11.12.2015
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