Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange 1880–1910
AbstractBased on daily prices (amtliche Kurse) we estimate effective spreads of securities traded at the Berlin Stock Exchange in 1880, 1890, 1900 and 1910. Several extensions of the Roll measure are applied. We find surprisingly tight effective spreads for the historical data, comparable with similar measures of the MDAX and DAX at the end of the 20th century. Copyright Oxford University Press Science+Business Media, LLC 2006
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Bibliographic InfoArticle provided by European Finance Association in its journal Review of Finance.
Volume (Year): 10 (2006)
Issue (Month): 4 (December)
Other versions of this item:
- Fohlin, Caroline & Gehrig, Thomas, 2006. "Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange, 1880-1910," CEPR Discussion Papers 5827, C.E.P.R. Discussion Papers.
- D23 - Microeconomics - - Production and Organizations - - - Organizational Behavior; Transaction Costs; Property Rights
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913
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