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

Thomas Gehrig and Caroline Fohlin

No 5827, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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: Price discovery; Effective spreads; Market microstructure (search for similar items in EconPapers)
JEL-codes: D23 G14 N23 (search for similar items in EconPapers)
Date: 2006-09
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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