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Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange, 1880-1910

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Author Info
Fohlin, Caroline
Gehrig, Thomas

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Abstract

Based 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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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 5827.

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Date of creation: Sep 2006
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Handle: RePEc:cpr:ceprdp:5827

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Related research
Keywords: effective spreads; market microstructure; price discovery;

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Find related papers by JEL classification:
D23 - Microeconomics - - Production and Organizations - - - Organizational Behavior; Transaction Costs; Property Rights
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Rafael La Porta & Florencio Lopez-de-Silane & Andrei Shleifer & Robert W. Vishny, 1996. "Law and Finance," NBER Working Papers 5661, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Huang, Roger D & Stoll, Hans R, 1994. "Market Microstructure and Stock Return Predictions," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(1), pages 179-213. [Downloadable!] (restricted)
  3. Ross Levine, 2002. "Bank-Based or Market-Based Financial Systems: Which is Better?," NBER Working Papers 9138, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(4), pages 623-56. [Downloadable!] (restricted)
  5. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation, Yale University. [Downloadable!]
  6. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September. [Downloadable!] (restricted)
  7. Harris, Lawrence, 1990. " Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator," Journal of Finance, American Finance Association, vol. 45(2), pages 579-90, June. [Downloadable!] (restricted)
  8. Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(5), pages 1113-41.
  9. Caroline Fohlin, 2005. "The History of Corporate Ownership and Control in Germany," NBER Chapters, in: A History of Corporate Governance around the World: Family Business Groups to Professional Managers, pages 223-282 National Bureau of Economic Research, Inc. [Downloadable!]
  10. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-34, March. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Thorsten Lübbers, 2009. "Is Cartelisation Profitable? A Case Study of the Rhenish Westphalian Coal Syndicate, 1893-1913," Working Paper Series of the Max Planck Institute for Research on Collective Goods 2009_09, Max Planck Institute for Research on Collective Goods. [Downloadable!]
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