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

Thomas Gehrig; Caroline Fohlin

doi:10.1007/s10679-006-9010-y

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Review of Finance Vol. 10 No. 4 2006

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

Thomas Gehrig¹; Caroline Fohlin²

¹ Universität Freiburg and CEPR 1 · ² Johns Hopkins University 2

open access

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.

DOI: 10.1007/s10679-006-9010-y
Volume: 10
Issue: 4
Pages: 587-612
Language: en
Sources: bibtex:phds-export.bib openalex crossref

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

Abstract

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