Integration between the London and New York Stock Exchanges, 1825–1925

In this article the integration between the London and New York Stock Exchanges is analysed during the era when they were still developing as asset markets. The domestic securities on both exchanges showed little sustained integration, even when controlling for the different characteristics of stocks, which implies that the pricing of securities in the US and UK was still being driven by local factors. These results place a limit on the view that the pre‐First World War period was the first era of globalization in terms of capital markets. However, there was considerable integration between New York and those listings on London that operated internationally. This suggests that the listing of foreign securities may be one of the primary mechanisms driving asset market integration.     

The Persistence of Dominant‐Firm Market Share: Raising Rivals' Cost on the New York Stock Exchange

To explain the persistence of dominant New York Stock Exchange (NYSE) market share in stock trading of listed securities from 1992 to 2002, we develop a dominant‐firm price leadership model and hypothesize that NYSE specialists raised the costs of rival market makers. The model predicts that natural and induced cost advantages will determine the NYSE's market share vis‐à‐vis the regional exchanges, electronic trading systems, and NASDAQ dealers. Empirically, NYSE market share increases with economies of scale and scope, abnormal price volatility, high asymmetric information, and with trading practices that raise rivals' costs, such as failure to display limit orders that bettered the existing quotes.     

除息日股票价格波动——基于国际市场的对比实证分析

本文探讨了四个不同地域(美国、英国、日本和中国)的资本市场在金融危机时期,其代表性的蓝筹股在除息日的价格波动行为。实证结果发现:在除息日,对于纽约和上海交易所,股票价格的下跌量等同于红利数额并且没有证据表明超额收益和短期交易的存在;对于东京交易所,股价下跌少于股息量,恰恰相反,伦敦交易所的股票下跌量超过股息额,这表明上述两个交易所的股票在除息日前后存在着异常收益和短期套利交易行为。     

Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas

Abstract

This article examines market risk in four demutualized and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and the Morgan Stanley Capital International (MSCI) Index returns provide the respective asset and market portfolio data. A bivariate GARCH model is used to estimate time-varying betas for each exchange from listing until 7 June 2005. While the results indicate significant beta volatility, unit root tests show the betas to be mean-reverting. These findings are used to suggest that despite concerns that demutualized and self-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0.56 for the Deutsche Börse, 0.66 for the London Stock Exchange, 0.78 for the Singapore Stock Exchange, and 0.95 for the Australian Stock Exchange.     

Yorkshire and Lancashire ascendant: England's textile exports to New York and Philadelphia, 1750–1805

This article uses American merchants' papers to identify the leading English textile exporters to New York and Philadelphia (1750–1805). It shows that Yorkshire and Lancashire took the initiative from London after 1783. The north's ascendancy stemmed from refinements to a well‐functioning trading system rather than from the creation of wholly new channels of trade. The emergent exporters of Leeds and Manchester were driven as much by the dictates of sales as of manufacturing; their factory investments were just one component of a series of connections with production. American importers retained their role as intermediaries between English exporters and backcountry retailers.     

Market microstructure and price discovery on the Tokyo Stock Exchange

This paper compares the price discovery processes at the opening and closing transactions for the fifty largest stocks trading on the Tokyo Stock Exchange. Open-to-open returns are found to have a greater volatility and a more negative autocorrelation pattern than close-to-close returns, similar to the pattern we found on the New York Stock Exchange. The results are consistent with pricing over-reaction at the opening and partial price-adjustment at the close. These patterns persist over time and prevail when estimated for returns conditional on the contemporaneous market effect. Our analysis of daytime and overnight returns suggest that pricing errors at the opening are corrected over the trading day. We present a new measure of volatility — the relative dispersion of stock returns around the market return — and find that it is greater at the opening, consistent with a more noisy price discovery process.     

Informational efficiency in the Tokyo Stock Exchange, 1931–40

This article relies on a unique dataset of daily price indices for stocks and bonds to analyse the functioning of the Tokyo Stock Exchange (TSE) in the period 1931–40. We find that this market deviated from weak‐form efficiency, in a context of cross‐market segmentation, short‐run spillovers, and turmoil surrounding major events. In this context, zaibatsu insiders were able to make abnormal returns via informed trading, while other uninformed investors could rely on technical rules to make abnormal profits. Such findings call for a micro‐level analysis of the interwar TSE corporate financing function.     

What moved share prices in the nineteenth‐century London stock market?†

Using a new weekly blue‐chip index, this article investigates the causes of stock price movements on the London market between 1823 and 1870. We find that economic fundamentals explain about 15 per cent of weekly and 34 per cent of monthly variation in share prices. Contemporary press reporting from the London Stock Exchange is used to ascertain what market participants thought was causing the largest movements on the market. The vast majority of large movements were attributed by the press to geopolitical, monetary, railway‐sector, and financial‐crisis news. Investigating the stock price changes on an independent list of events reaffirms these findings, suggesting that the most important specific events that moved markets were wars involving European powers.     

An efficient market? Going public in London, 1891–1911

There have been claims that British capital was not well deployed in Victorian Britain. There was, allegedly, a lack of support for new and dynamic companies in comparison to the situation in Germany and the US. We find no evidence to support these claims. The London Stock Exchange welcomed young, old, domestic, and foreign firms. It provided funds to firms in old, existing industries as well as patenting firms in ‘new‐tech’ industries at similar costs of capital. If investors did show a preference for older and foreign firms, it was because those firms offered investors better long‐run performance. In addition, we show some evidence that investors who worked in the same industry and lived close to the firm going public were allotted more shares in high‐quality initial public offerings.     

The liquidity of the London capital markets, 1825–70†

This article examines the liquidity of the London capital markets in the decades following the liberalization of UK incorporation law. Using comprehensive stock and bond data, we calculate a measure of market liquidity for the period 1825–70. We find that stock market liquidity trended upwards but bond market liquidity did not increase over the sample period. Stock market liquidity during our sample period was partially influenced by the bond market, rather than fluctuations in economic output. In our analysis of the cross‐sectional determinants of individual stock liquidity, we find that firm size and the number of issued shares were important determinants of liquidity.  Finally, we find little evidence of an illiquidity premium, which is consistent with the view that investors did not price liquidity in this nascent market.     

Bloody foreigners! Overseas equity on the London Stock Exchange, 1869–1929

This article presents data on quantity, capital gains, dividend yields, and total returns of domestic and overseas equities listed on the London Stock Exchange during 1869–1929. Indices are presented for Africa, Asia, Australia (including New Zealand), Europe, Latin America, and North America (as well as for the UK), and for the finance, transportation, raw materials, and utilities sectors in each region. Returns and volatility were typically highest in emerging regions and the raw materials sector. Dividend yields were similar across regions and differences in total returns were due largely to disparities in capital gains. Contingent liability was most extensively employed where leverage was high and the physical assets were either meagre or inaccessible to creditors.     

Innovation and upheaval: early growth in Greek capital market listings and IPOs from 1880 to the Second World War in the Athens Stock Exchange†

The establishment and growth of the Greek stock market were coincident with development episodes, financial upheavals, and geographic expansions of the country's economy over the period 1880–1940. This article explores the growth of the Athens Stock Exchange through new listings and initial public offerings (IPOs) in the late nineteenth and early twentieth centuries. We examine changes in exchange governance and listing requirements. On a theme not addressed before , we find that simple listings were far more numerous than actual IPOs. IPOs in Greece remained unregulated throughout the period. Their under‐pricing became pronounced in the later parts of the period, especially the 1920s. The study presents data on ‘quasi‐IPOs’ (that is, capital increases shortly after listing) and shows that they offer a more accurate assessment of the demand for the financing of listing firms in an emerging market. Robust evidence is presented to show that as the Exchange developed it also underwent a change in character, becoming more oriented to the domestic market and catering to smaller firms in domestic manufacturing in the post‐First World War era that marked the end of early globalization.     

On the Relation between Money and Derivatives and its Application to the International Monetary Market

The paper deals with the problem of defining money in a system with derivatives. We conclude that derivatives have to be included in the definition of money, and support our conclusions with an econometric test on the New York Stock Exchange (NYSE) and Chicago Board of Trade indexes. We focus on the direct relationship between derivatives' supply and the interest rate, the analytical basis of speculative money demand introduced by Keynes and the foundation of the Fratianni-Savona model to single out the international monetary base. Consequently, monetary aggregates measured by international institutions, such as the Bank for International Settlements, underestimate the actual offshore market size. Derivatives are the primary instruments used by speculators. There is money, mainly in reserve currencies, that is not controlled and that may cause systemic instability (e.g., the recent Asian crisis).     

Occupational Mobility Pattern in Chonju,Korea

This paper investigates the existence of the inter‐dependence between the Indian stock market and Asia's emerging markets since 1990. This study analyzes whether the MSCI Asian Index has significantly influenced the Bombay Stock Exchange Index before, during, and after the Asian financial crisis. To address this issue, the author first uses a rolling correlation, and conduct uni‐directional and bi‐directional causality tests using the Granger causality test. He then examines the impulse response functions and variance decompositions of forecast errors based on a VAR (vector auto‐regression) model. These tests provide evidence that the influence of the Asian market on the Indian market has increased during and after the Asian financial crisis. These results can be interpreted as evidence that the Indian market has been moving toward integration with other Asian markets.     

太阳能热利用的灿烂未来

两年前，“中国太阳第一股”无锡尚德登陆纽约证券交易所，施正荣成为中国首富。如今太阳能热利用产业两大龙头公司正在步无锡尚德后尘，积极筹备上市。     

The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets

This paper provides insight into the sources of time variation and persistence in volatility by presenting new evidence concerning the price behavior of three index futures contracts and associated stock price indexes (the New York Stock Exchange Composite index, Standard and Poor's 500 index, and Toronto 35 index). Although persistence in the second moments of stock returns distribution is widely documented, the economic explanation for generalized autoregressive conditional heteroskedasticity is not established. Cross-sectional differences in measured persistence indicate that market characteristics thought to impede information flows may not play a significant role in explaining generalized autoregressive conditional heteroskedasticity effects.     

THE RELATIONSHIP BETWEEN INTERNATIONAL EQUITY MARKET BEHAVIOUR AND THE JSE

This paper investigates empirically the relationship between domestic and international market returns and volatilities, using the London Stock Exchange as the international market proxy. In order to address problems of widely differing bourse composition, the relationships are tested at both the broad bourse index level and the sectoral sub‐indices level. The paper finds significant evidence of a positive relationship between foreign returns and domestic returns and, in addition, between foreign volatility and domestic volatility. It is found that, for most sectors, the main association period is during the same concurrent trading day, although there are additional significant lags present in most of the series. Strong evidence is also found that the magnitude of volatility on the JSE and most of its sub‐indices reacts far more to negative shocks than it does to positive shocks.     

Anglo‐American trade costs during the first era of globalization: the contribution of a bilateral tariff series†

Previous scholarship has suggested that British trade was generally unaffected by foreign tariffs during the period from 1870 to 1913. This article focuses specifically on Anglo‐American trade, which was the largest bilateral flow of trade during the first era of globalization, and finds that tariffs were the sole intertemporal determinant of Anglo‐American trade costs. However, the determinacy of tariffs for Anglo‐American trade costs only becomes apparent when the tariff variable incorporates a measure of the bilateral American tariff toward Britain, which this article reconstructs. The article concludes by claiming that Anglo‐American trade represents a major qualification to any emerging consensus that foreign tariffs were of minor significance to the trade of late nineteenth‐century Britain.     

Taxation,warfare, and the early fourteenth century ‘crisis’ in the north: Cumberland lay subsidies, 1332–13481

Recent research into the impact of Anglo‐Scottish conflict on northern England's economy has become increasingly sophisticated, using local estate accounts to enhance understanding of the role of war in the 'crisis' of the early fourteenth century. Yet taxation data also remains an important source on these issues, not least because of its wide geographical coverage. Using a rich series of lay subsidy documents for Cumberland, this article concludes that the direct impact of Scottish raids was only one of several determinants of economic fortunes. More significantly, reconstructing the process of taxation shows that non‐violent resistance to state levies was as responsible as war damage for a decline in revenue from the county.