Monthly price data collected by William Geotzmann, Christos Cabolis, and Peter Radchenko for all the securities listed in the St. Petersburg Stock Exchange from January 1865 to July 1914 when the Stock Exchange closed down due to World War I. In addition they collected prices for all the securities that were traded after the SPSE reopened for two months in 1917 before it closed down again for 74 years after the 1917 revolution.
The main purpose of this project is to construct complete series of data for SPSE that will allow the ICF to study long-term trends and performance.
Price Weighted Capital Appreciation Indices
Price Weighted Capital Appreciation, Price Weighted Appreciation Index, Dividend Return, Total Return Series for all the traded securities in the SPSE between 1885 and 1915 were constructed by Peter Radchenko.
SPSE and NYSE Comparion
Comparisons of the monthly NYSE and SPSE price weighted, dollar-denominated, capital appreciation indices from January 1865 to February 1917. The NYSE index was constructed by William Goetzmann, Roger Ibbotson, and Liang Peng and the SPSE index constructed by Peter Radchenko.
Images and Sources of Documents
This data is supplied solely for academic research purposes. Any commercial use or redistribution without the authorization of the authors and the International Center for Finance at Yale is prohibited. Any use of the data in publication must cite the source appropriately.