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

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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Year of publication:	2006-09
Authors:	Fohlin, Caroline ; Gehrig, Thomas
Institutions:	C.E.P.R. Discussion Papers
Subject:	effective spreads \| market microstructure \| price discovery

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 5827
Classification:	D23 - Organizational Behavior; Transaction Costs; Property Rights ; G14 - Information and Market Efficiency; Event Studies ; N23 - Europe: Pre-1913
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005661509