Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets

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• 作者：Adrian R. Bell ; Chris Brooks ; Nick Taylor
• 关键词：Arbitrage ; Information shares ; Cross ; listed stocks ; Historical finance ; Eighteenth century stocks ; N230 ; G140 ; C320
• 刊名：Cliometrica
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：10
• 期：1
• 页码：5-30
• 全文大小：807 KB
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• 作者单位：Adrian R. Bell (1)
  Chris Brooks (1)
  Nick Taylor (2)
  
  1. ICMA Centre, Henley Business School, University of Reading, Reading, UK
  2. School of Economics, Finance and Management, University of Bristol, Bristol, BS8 1TN, UK
  
• 刊物主题：Economic Theory; History; Econometrics; Methodology and the History of Economic Thought;
• 出版者：Springer Berlin Heidelberg
• ISSN：1863-2513

文摘

This paper examines the time-varying nature of price discovery in eighteenth century cross-listed stocks. Specifically, we investigate how quickly news is reflected in prices for two of the great moneyed companies, the Bank of England and the East India Company, over the period 1723–1794. These British companies were cross-listed on the London and Amsterdam stock exchange and news between the capitals flowed mainly via the use of boats that transported mail. We examine in detail the historical context surrounding the defining events of the period and use these as a guide to how the data should be analysed. We show that both trading venues contributed to price discovery, and although the London venue was more important for these stocks, its importance varies over time. Keywords Arbitrage Information shares Cross-listed stocks Historical finance Eighteenth century stocks