The liquidity of the London capital markets, 1825-70 †
The liquidity of the London capital markets, 1825-70 †
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伦敦资本市场的流动性，1825-70 年
DOI：
10.1111/ehr.12530
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发表时间：
2017
期刊：
影响因子：
--
通讯作者：
Campbell G
中科院分区：
文献类型：
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作者：
Campbell G
本文研究了英国公司法自由化后几十年来伦敦资本市场的流动性。我们使用综合的股票和债券数据，计算了1825年至1870年期间的市场流动性。我们发现，股票市场的流动性呈上升趋势，但债券市场的流动性并没有增加，在样本期间。在我们的样本期间，股票市场流动性部分受到债券市场的影响，而不是经济产出的波动。在我们对个股流动性的横截面决定因素的分析中，我们发现公司规模和已发行股票数量是流动性的重要决定因素。最后，我们几乎没有发现非流动性溢价的证据，这与投资者没有对这个新生市场的流动性进行定价的观点一致。
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.