DP5827 Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange, 1880-1910
|Author(s):||Caroline Fohlin, Thomas Gehrig|
|Publication Date:||September 2006|
|Keyword(s):||effective spreads, market microstructure, price discovery|
|JEL(s):||D23, G14, N23|
|Programme Areas:||Financial Economics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=5827|
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.