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

Fohlin, Caroline; Gehrig, Thomas

Purchase - $8.00 CEPR Subscribers Download

Add Paper to My Library

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

CEPR Discussion Paper No. 5827

40 Pages Posted: 10 Nov 2006

See all articles by Caroline Fohlin

Caroline Fohlin

Emory University; Centre for Economic Policy Research (CEPR)

University of Vienna - Faculty of Business, Economics, and Statistics; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Vienna Graduate School of Finance (VGSF); Systemic Risk Centre - LSE

There are 2 versions of this paper

Date Written: September 2006

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.

Keywords: Price discovery, effective spreads, market microstructure

JEL Classification: D23, G14, N23

Suggested Citation: Suggested Citation

Fohlin, Caroline and Gehrig, Thomas, Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange, 1880-1910 (September 2006). CEPR Discussion Paper No. 5827, Available at SSRN: https://ssrn.com/abstract=944041