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Similarities in the Distribution of Stock Market Price Changes between the Eighteenth and Twentieth Centuries

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  • Harrison, Paul
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    Abstract

    Are all financial time series alike? This article raises that question by establishing that eighteenth- and twentieth-century equity-market time series behave similarly. The distribution of price changes now and then both exhibit the same patterns or regularities. In particular, the distribution of price changes is leptokurtic, and fluctuations in variance are persistent. This article provides further evidence that financial market regularities are stable and not contingent on specific times and places. The historical evidence shows that eighteenth-century stock market and traders are not so different from those of today. Copyright 1998 by University of Chicago Press.

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    Bibliographic Info

    Article provided by University of Chicago Press in its journal Journal of Business.

    Volume (Year): 71 (1998)
    Issue (Month): 1 (January)
    Pages: 55-79

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    Handle: RePEc:ucp:jnlbus:v:71:y:1998:i:1:p:55-79

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    Web page: http://www.journals.uchicago.edu/JB/

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    Cited by:
    1. Carlos, Ann M. & Moyen, Nathalie & Hill, Jonathan, 2002. "Royal African Company Share Prices during the South Sea Bubble," Explorations in Economic History, Elsevier, vol. 39(1), pages 61-87, January.
    2. Tung Liu & Courtenay C. Stone & Gary J. Santoni, 2008. "Federal Securities Regulations and Stock Market Returns," Working Papers 200803, Ball State University, Department of Economics, revised Dec 2008.
    3. Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy.
    4. Mixon, Scott, 2009. "Option markets and implied volatility: Past versus present," Journal of Financial Economics, Elsevier, vol. 94(2), pages 171-191, November.

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