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

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  • Fohlin, Caroline
  • Gehrig, Thomas

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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Keywords: effective spreads; market microstructure; price discovery;

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  1. Rafael LaPorta & Florencio Lopez-de-Silanes & Andrei Shleifer & Robert W. Vishny, . "Law and Finance," Working Paper 19451, Harvard University OpenScholar.
  2. Ross Levine, 2002. "Bank-Based or Market-Based Financial Systems: Which is Better?," William Davidson Institute Working Papers Series 442, William Davidson Institute at the University of Michigan.
  3. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-56.
  4. Harris, Lawrence, 1990. " Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 579-90, June.
  5. Huang, Roger D & Stoll, Hans R, 1994. "Market Microstructure and Stock Return Predictions," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 179-213.
  6. 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.
  7. Caroline Fohlin, 1999. "The rise of interlocking directorates in imperial Germany," Economic History Review, Economic History Society, Economic History Society, vol. 52(2), pages 307-333, 05.
  8. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(1), pages 5-26, September.
  9. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 3R, Cowles Foundation for Research in Economics, Yale University.
  10. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 115-34, March.
  11. Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-41.
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Cited by:
  1. Lübbers, Thorsten, 2008. "Shareholder value mining: Wealth effects of takeovers in German coal mining, 1896-1913," Explorations in Economic History, Elsevier, Elsevier, vol. 45(4), pages 462-476, September.
  2. Allen, Franklin, et al., 2010. "How Important Historically Were Financial Systems for Growth in the U.K., U.S., Germany, and Japan?," Working Papers 10-27, University of Pennsylvania, Wharton School, Weiss Center.
  3. 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.

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