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Time or spot ? A revaluation of Amsterdam market data prior to 1747

Author

Listed:
  • Brian Beach

    (University of Pittsburgh, Pittsburgh, PA, USA)

  • Stephen Norman

    (University of Washington, Tacoma, 1900 Commerce St, Tacoma, WA, 98402, USA)

  • Douglas Wills

    (University of Washington, Tacoma, 1900 Commerce St, Tacoma, WA, 98402, USA)

Abstract

Scholars historically believed that the market price data reported for Amsterdam markets were spot prices prior to 1747. Neal (The rise of financial capitalism: international capital markets in the Age of Reason. Cambridge University Press, Cambridge, 1990) provided econometric evidence that the prices were time. A newly constructed dataset, containing a much higher frequency of observations from Amsterdam markets, allows us to resolve this dispute. We provide conclusive evidence that the prices report were actually spot, as originally believed.

Suggested Citation

  • Brian Beach & Stephen Norman & Douglas Wills, 2013. "Time or spot ? A revaluation of Amsterdam market data prior to 1747," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 7(1), pages 61-85, January.
    • Handle: RePEc:afc:cliome:v:7:y:2013:i:1:p:61-85
    DOI: 10.1007/s11698-012-0081-z
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    More about this item

    Keywords

    Early financial markets; Spot and forward markets;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913

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