IDEAS home Printed from https://ideas.repec.org/a/ucp/jnlbus/v71y1998i1p55-79.html
   My bibliography  Save this article

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

Author

Listed:
  • 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.

Suggested Citation

  • 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
    DOI: 10.1086/209736
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/209736
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    File URL: https://libkey.io/10.1086/209736?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Peter Koudijs, 2016. "The Boats That Did Not Sail: Asset Price Volatility in a Natural Experiment," Journal of Finance, American Finance Association, vol. 71(3), pages 1185-1226, June.
    5. Gareth Campbell & William Quinn & John D. Turner & Qing Ye, 2018. "What moved share prices in the nineteenth†century London stock market?," Economic History Review, Economic History Society, vol. 71(1), pages 157-189, February.
    6. 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 Kiel).
    7. Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
    8. Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
    9. Mixon, Scott, 2009. "Option markets and implied volatility: Past versus present," Journal of Financial Economics, Elsevier, vol. 94(2), pages 171-191, November.
    10. Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
    11. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    12. Baltussen, Guido & Swinkels, Laurens & Van Vliet, Pim, 2021. "Global factor premiums," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1128-1154.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:71:y:1998:i:1:p:55-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journals Division (email available below). General contact details of provider: https://www.jstor.org/journal/jbusiness .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.