In 1795 the British took control of the Cape colony (South Africa) from the Dutch; and in 1843 they exogenously changed the legal basis of landholding, giving more secure property rights to landholders. Since endowments and other factors were held constant, these changes offer clean tests of the...

Cointegration analysis has been used widely to quantify market integration through price arbitrage. We show that total price variability can be decomposed into: (i) magnitude of price shocks; (ii) correlation of price shocks; (iii) between-period arbitrage. All three measures depend upon data...