Trading costs in early securities markets: The case of the Berlin stock exchange 1880-1910

Review of Finance

Volumn 10, Issue 4, 2006, Pages 587-612

  Gehrig, Thomas ^a   Fohlin, Caroline ^b  

^a UNIVERSITY OF FREIBURG   (Germany)

^b JOHNS HOPKINS UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33845428799     PISSN: 15723097     EISSN: 1573692X     Source Type: Journal    
DOI: 10.1007/s10679-006-9010-y     Document Type: Review

References (36)

1. Allen, F. and Gale, D. (2000) Comparing Financial Systems, MIT-Press, Cambridge.
2. Bossaerts, P. and Fohlin, C. (2000) Has the cross-section of average returns always been the Same? Evidence from Germany, 1881-1913?, working paper 1084, Caltech Social Science.
3. De Long, B. and Becht, M. (1992) Excess volatility and the German stock market 1876-1900, mimeo, Harvard University, Cambridge MA.
4. Eube, S. (1998) Der Aktienmarkt in Deutschland vor dem 1. Weltkrieg: Eine Indexanalyse, Fritz Knapp Verlag, Frankfurt.
5. Fohlin, C. (1999) The rise of interlocking directorates in imperial Germany, Economic History Review LII(2), 307-333.
6. Fohlin, C. (2002) Regulation, taxation, and the development of the German universal banking system, 1884-1913, European Review of Economic History 6, 221-254.
7. Fohlin, C. (2005) The history of corporate ownership and control in Germany, in R. Morck (ed.), A History of Corporate Governance around the World: Family Business Groups to Professional Managers, NBER series, University of Chicago Press.
8. Fohlin, C. (2007) Finance Capitalism and Germany's Rise to Industrial Power, Cambridge University Press, New York.
9. French, K. and Roll, R. (1986) Stock return variances: The arrival of information and reaction of traders, Journal of Financial Economics 17, 5-26.
10. George, T., Kaul, G., and Nimalendran, M. (1991) Estimation of the bid-ask spread and its components: A new approach, Review of Financial Studies 4, 623-656.
11. Glosten, L. and Harris, L. (1988) Estimating the components of the bid-ask spread, Journal of Financial Economics 21, 123-142.
12. Harris, L. (1990) Statistical properties of the roll serial covariance bid/ask spread estimator, Journal of Finance 45, 579-590.
13. Hsia, C., Fuller, B., and Kao, G. (1994) A modified method of inferring the effective bid-ask spread from security returns, Journal of Business Finance and Accounting 21, 243-253.
14. Huang, R. and Stoll, H. (1994) Market structure and stock return predictions, Review of Financial Studies 7, 179-213.
15. Kennedy, W. and Britton, R. ( 1985) Portfolioverhalten und wirtschaftliche Entwicklung im späten 19. Jahrhundert. Ein Vergleich zwischen Großbritannien und Deutschland. Hypothesen und Spekulationen, in R. Tilly (ed.), Beiträge zur vergleichenden Unternehmensgeschichte, Stuttgart.
16. Krahnen, J. P. and Schmidt H. (2004) The German Financial System, Oxford University Press, London.
17. La Porta, R., Lopez-de-Silanes F., Shleifer, A., and Vishny, R. (1998) Law and finance, Journal of Political Economy 106(6), 1113-1155.
18. Lesmond, D., Ogden, J., and Trzcinka, C. (1999) A new estimate of transaction costs, Review of Financial Studies 12, 1113-1141.
19. Levine, R. (2002) Bank-based or market-based financial systems: Which is better?, Journal of Financial Intermediation 11(4), 398-428.
20. Madhavan, M. (2000) Market microstructure, Journal of Financial Markets 3, 205-258.
21. Metzler, L. (1911) Studien zur Geschichte des deutschen Effektenbankenwesens vom ausgehenden Mittelalter bis zur Jetztzeit. Ein Beitrag zur Geschichte des deutschen Bankwesens, Leipzig.
22. Michie, R. (1988) Different in name only? The London stock exchange and foreign bourses, c. 1850-1914, Business History 30, 46-68.
23. Norddeutsche Allgemeine Zeitung, 1870, 1880, 1890, 1900, 1910 all daily issues.
24. Prion, W. (1910) Die Preisbildung an der Wertpapierbörse, Duncker & Humblot, Leipzig.
25. Rajan, R. and Zingales, L. (2003) The great reversals: The politics of financial development in the twentieth century, Journal of Financial Economics 69, 5-50.
26. Roll, R. (1984) A simple implicit measure of the bid-ask spread in an efficient market, Journal of Finance 39, 117-1140.
27. Rosett, R. ( 1959) A statistical model of friction in economics, Econometrica 27, 263-267.
28. Stoll, H. (1989) Inferring the components of the bid-ask spread: Theory and empirical tests, Journal of Financial Economics 12, 57-79.
29. Tilly, R. (1986) German banking, 1850-1914: Development assistance to the strong, Journal of European Economic History 15, 113-152.
30. Tilly, R. (1995) The Berlin securities exchange in national context: Actors, rules and reforms to 1914, working paper, Universität Münster.
31. Tobin, J. (1958) Estimation of relationships for limited dependent variabels, Econometrica 26, 24-36.
32. Tsay, Ruey S. (1986) Time series model specification in the presence of outliers, Journal of the American Statistical Association 81, 132-141.
33. Weigt, A. (2005) Der deutsche Kapitalmarkt vor dem Ersten Weltkrieg - Gründerboom, Gründerkrise und Effizienz des Deutschen Aktienmarktes bis 1914, Fritz Knapp Verlag, Frankfurt.
34. Wellhöner, V. (1989) Großbanken und Großindustrie im Kaiserreich, Vandenhoek Ruprecht, Göttingen.
35. Wetzel, C. (1996) Die Auswirkungen des Reichsbörsengesetzes von 1896 auf dieEffektenbörsen im Deutschen Reich, insbesondere auf die Berliner Fondsbörse, Lit Verlag, Münster.
36. Wiener, F. A. (1905) Die Börse, dissertation, Berlin.