Cross-listed stocks as an information vehicle of speculation: Evidence from European cross-listings in the early 1870s
Cross-listed stocks as an information vehicle of speculation: Evidence from European cross-listings in the early 1870s
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交叉上市股票作为投机信息工具：来自 1870 年代初期欧洲交叉上市的证据
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Markus Baltzer
中科院分区：
文献类型：
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作者：
Markus Baltzer
本文研究了19世纪70年代欧洲主要证券交易所交叉上市股票的价格构建过程。通过应用向量误差校正方法，我们寻找协整关系。显然，已经有了高度的跨界融合。此外，我们观察到一个不寻常的现象，即在价格构建过程中占主导地位的不是国内市场维也纳，而是国外市场柏林。一个解释可能是19世纪70年代柏林的激烈投机。因此，交叉上市的股票成为将持续的投机从柏林传播到其他地方的工具。
This study deals with the price building process of cross-listed stocks on the most important European stock exchanges in the 1870s. By applying a vector error correction approach we look for cointegration relationships. Obviously, there was already a high degree of cross-border integration. Furthermore, we observe the uncommon phenomenon that it was not the home market Vienna but the foreign market Berlin which was the dominant one in the price-building process. An explanation could be the intense speculation during the 1870s in Berlin. Therefore, cross-listed stocks worked as a vehicle for spreading the ongoing speculation from Berlin to other places.