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

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. Copyright Oxford University Press Science+Business Media, LLC 2006

A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices

“…1 1 See Asparouhova, Bessembinder, and Kalcheva (2010), Bharath, Pasquariello, and Wu (2009), Gehrig and Fohlin (2006), Kim et al (2007), Lesmond, Schill, and Zhou (2004), or Lipson and Mortal (2009) for estimates of spreads for periods before the availability of intraday data. See Amihud, Lauterbach, and Mendelson (2003), Chakrabarti et al (2005), or Griffin, Kelly, and Nardari (2010) for examples of the application of Roll spread estimators to international data. …”

The Plight of Modern Markets: How Universal Banking Undermines Capital Markets

“…Note that Fohlin actually states that the ratio of the value of OTC trading to exchange trading increases by about 10 per cent a year.29 Two facts about the pre-World War I German stock market support this interpretation of the costs of the daily batch auction Gehrig and Fohlin (2006). find that the daily volatility of returns on the Berlin exchange was comparable to that on modern markets, whereasDeLong and Becht (1992) find that the monthly volatility of a Berlin index exhibits extremely low volatility compared to both contemporary and modern markets.…”

“…Data from World Federation of Exchanges, Monthly Report, November 2015.27 The pricing process dates from the latter years of the 19th century and is described inGehrig and Fohlin (2006). For the process in the 1980s, seeBank of England (1984).…”

Commodity option pricing efficiency before Black, Scholes, and Merton

“…For bid–ask spreads, see Gehrig and Fohlin, ‘Trading costs’; for closed end funds, see Chambers and Esteves, ‘First global emerging markets investor’, and a new working paper by Campbell and Rogers, ‘Rise and returns of investment trusts’; and for IPO underpricing, see Chambers and Dimson, ‘IPO underpricing’; Burhop, ‘Underpricing of initial public offerings’; and Lehmann, ‘Taking firms to the stock market’.…”