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

Thomas Gehrig; and Caroline Fohlin

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

机译：早期证券市场中的交易成本：以1880年至1910年的柏林证券交易所为例 *

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摘要

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.

机译：根据每日价格（amtliche Kurse），我们估计1880年，1890年，1900年和1910年在柏林证券交易所买卖的证券的有效利差。对滚动法则进行了一些扩展。我们发现，历史数据的有效利差令人吃惊，可与20世纪末MDAX和DAX的类似指标相提并论。

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《Review of Finance》 |2006年第4期|587-612|共26页
作者
Thomas Gehrig; and Caroline Fohlin;
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作者单位

Universität Freiburg and CEPR;

Johns Hopkins University;

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正文语种 eng
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7. Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange 1880–1910 [O] . Thomas Gehrig, Caroline Fohlin 2015

机译：早期证券市场的交易成本：1880-1910柏林证券交易所的案例

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

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