A common-features analysis of Amsterdam and London financial markets during the eighteenth century |
| |
| Authors: | G Dempster JM Wells DT Wills |
| |
| Institution: | Department of Economics, Auburn University, Auburn, AL 36849-5242, USA Phone: 334 844 2902 Fax: 334 844 4615 E-mail:;Department of Economics, Auburn University, Auburn, AL 36849-5242, USA Phone: 334 844 2902 Fax: 334 844 4615 E-mail:;Department of Economics, Sweet Briar College, Sweet Briar, VA 24595-0103, USA Phone: 804 381 6203 Fax: 804 381 6173 E-mail: |
| |
| Abstract: | We examine the financial linkage between the London and Amsterdam financial markets using stock prices recorded in each market over the period 1723-94 in conjunction with tests for common trends, cycles, and regime shifts. These tests reveal a surprising degree of integration between the markets as their prices move together in both the short and long run. Moreover, shocks to the assets translate quickly and accurately between markets. It also appears that Dutch investment did not destabilize London markets and stock prices in London were the primary determinant of prices in Amsterdam. |
| |
| Keywords: | |
|
|
