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A Common-Features Analysis of Amsterdam and London Financial Markets during the Eighteenth Century

Author

Listed:
  • Dempster, Greg
  • Wells, John M
  • Wills, Douglas T

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. Copyright 2000 by Oxford University Press.

Suggested Citation

  • Dempster, Greg & Wells, John M & Wills, Douglas T, 2000. "A Common-Features Analysis of Amsterdam and London Financial Markets during the Eighteenth Century," Economic Inquiry, Western Economic Association International, vol. 38(1), pages 19-33, January.
    • Handle: RePEc:oup:ecinqu:v:38:y:2000:i:1:p:19-33
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    Cited by:

    1. repec:fgv:epgrbe:v:68:n:2:a:6 is not listed on IDEAS
    2. Peter Koudijs, 2016. "The Boats That Did Not Sail: Asset Price Volatility in a Natural Experiment," Journal of Finance, American Finance Association, vol. 71(3), pages 1185-1226, June.
    3. Murphy, Anne L., 2014. "Making the market: Trading debt at the Eighteenth-Century Bank of England," eabh Papers 14-05, The European Association for Banking and Financial History (EABH).
    4. Gregory M. Dempster & Justin P. Isaacs, 2011. "Conflict, Credibility and Asset Prices," Chapters, in: Christopher J. Coyne & Rachel L. Mathers (ed.), The Handbook on the Political Economy of War, chapter 24, Edward Elgar Publishing.
    5. Peter Koudijs, 2015. "Those Who Know Most: Insider Trading in Eighteenth-Century Amsterdam," Journal of Political Economy, University of Chicago Press, vol. 123(6), pages 1356-1409.
    6. Matos, Paulo Rogério Faustino & Bueno, Amadeus & Trompieri, Nicolino, 2014. "Análise de Integração Financeira na América do Sul," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.

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