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Discussion Paper Details

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

Author(s): Caroline Fohlin and Thomas Gehrig

Publication Date: September 2006

Keyword(s): effective spreads, market microstructure and price discovery

Programme Area(s): Financial Economics

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.

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Bibliographic Reference

Fohlin, C and Gehrig, T. 2006. 'Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange, 1880-1910'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=5827