Working Paper: CEPR ID: DP5827
Authors: Caroline Fohlin; Thomas Gehrig
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.
Keywords: effective spreads; market microstructure; price discovery
JEL Codes: D23; G14; N23
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| 1896 stock exchange law (G18) | market efficiency (G14) |
| universal banking (G21) | low trading costs in pre-WWI Berlin market (N93) |
| trading costs decreased over time between 1880 and 1890 (N71) | improvements in market efficiency (G14) |