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.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 5827.
Date of creation: Sep 2006
Date of revision:
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Other versions of this item:
- Thomas Gehrig & Caroline Fohlin, 2006. "Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange 1880–1910," Review of Finance, European Finance Association, vol. 10(4), pages 587-612, December.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-28 (All new papers)
- NEP-CFN-2006-10-28 (Corporate Finance)
- NEP-FIN-2006-10-28 (Finance)
- NEP-MST-2006-10-28 (Market Microstructure)
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