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]
Authors:	Gehrig, Thomas
Other Persons:	Fohlin, Caroline (contributor)
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (40 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 15, 2006 erstellt
Other identifiers:	10.2139/ssrn.923767 [DOI]
Classification:	D23 - Organizational Behavior; Transaction Costs; Property Rights ; G14 - Information and Market Efficiency; Event Studies ; N23 - Europe: Pre-1913
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012733084