  |
|
|
||||
|
||||
Volatility Clustering and the Bid-Ask Spread: Exchange Rate Behavior in Early Renaissance Florence
G. Geoffrey Booth Michigan State University - Department of Finance Umit G. Gurun University of Texas at Dallas - School of Management Journal of Empirical Finance, Vol. 15, No. 1, 2008 Abstract: This paper investigates the nature and behavior of the domestic (local) currency market that existed in Florence (Italy) during the late 14th and early 15th centuries (a.k.a. Early Renaissance). We find that the extant volatility and microstructure models developed for modern asset markets are able to describe the statistical volatility properties observed for the denaro-florin exchange rate. Volatility is clustered and is related to the bid-ask spread. This supports the notion that, although there are huge social, industrial and technological differences between capitalism then and now, individuals trading financial assets in an organized venue behave in a similar manner.
Keywords: Volatility clustering, bid ask spread, Exchange rate, Renaissance JEL Classifications: G10, N23, P12 Accepted Paper SeriesDate posted: March 13, 2008 ; Last revised: March 13, 2008Suggested CitationContact Information
|
|
||||||||||||||||
© 2010 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was served by apollob 5 in 0.813 seconds.
One-Click Download
Facebook
Twitter
Digg
Del.icio.us
CiteULike
