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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

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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  • Harrison, Paul, 1998. "Similarities in the Distribution of Stock Market Price Changes between the Eighteenth and Twentieth Centuries," The Journal of Business, University of Chicago Press, vol. 71(1), pages 55-79, January.
  • Handle: RePEc:ucp:jnlbus:v:71:y:1998:i:1:p:55-79
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    Cited by:

    1. Campbell, Gareth & Quinn, William & Turner, John D. & Ye, Qing, 2015. "What moved share prices in the nineteenth-century London stock market?," QUCEH Working Paper Series 15-06, Queen's University Belfast, Queen's University Centre for Economic History.
    2. Pierdzioch, Christian, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913," Kiel Working Papers 1213, Kiel Institute for the World Economy (IfW).
    3. Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
    4. Tung Liu & Gary Santoni & Courtenay Cliff Stone, 2005. "Federal Securities Regulations and Stock Market Returns," Working Papers 200501, Ball State University, Department of Economics, revised Jan 2005.
    5. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    6. 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.
    7. Mixon, Scott, 2009. "Option markets and implied volatility: Past versus present," Journal of Financial Economics, Elsevier, vol. 94(2), pages 171-191, November.
    8. repec:eee:jfinec:v:127:y:2018:i:2:p:248-263 is not listed on IDEAS

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