The Transformation of the New York Stock Exchange before the SEC: Microstructure and Performance, 1880-1929

拟议中的项目探索了纽约证券交易所从19世纪80年代到20世纪20年代广泛且基本上不受监管地转变为世界主要证券市场之一的过程。20世纪20年代是一个重大经济变革时期，其特点是与主要竞争对手联合交易所进行了一场旷日持久的战斗，其间还不时爆发几场尖锐的金融危机。这项拟议的研究在三个领域调查了几个假设：1.微观结构和绩效的长期模式；2.对危机和其他冲击的反应；3.竞争压力和反竞争行为。这项研究使用市场流动性、交易成本(及其信息和订单处理组件)、市场力量和市场间价差等多种衡量标准，在总体和安全层面上研究了这些现象。有形的成果包括几篇发表的文章以及第一个关于这一时期在纽约证券交易所和综合交易所交易的所有股票的每日信息的综合数据库。(1)拟议活动的智力价值拟议的工作有助于对19世纪和20世纪初证券市场的发展进行相对较新的研究，因为在通信技术相对落后、市场狭窄、交易清淡的时代，以及在旨在确保信息透明度和限制内幕交易的投资者保护法之前，证券市场在为公司股本融资方面发挥了重要作用。在过去的几年里，PI在制定研究议程、制定可检验的假设、确定来源和收集大量数据方面取得了重大进展。这一基础工作，加上国际和平研究所在密切相关领域的先前经验，以及与微观结构专家的合作，确保了资金的快速有效使用。PI和合著者利用第一波数据产生了有希望的结果。拟议的活动在这项工作上进行了实质性的扩展，需要比PI迄今收集的数据多得多的数据，以准确地识别连续时间内的趋势和波动，准确地确定特定体制变化的影响，研究数据库中尚未包括的年份发生的几个事件(例如金融危机)，并评估与综合数据公司竞争的影响。拟议的数据收集对研究计划至关重要，还可以与其他明显截然不同的系统(如德国)进行比较分析，以便更好地了解政治、法律和经济对证券交易所组织的影响，以及微观结构对业绩的影响。归根结底，这项研究有助于理解金融体系和经济增长之间的联系。它还促进了经济学、社会学、政治学、历史学和法律研究领域的知识。(2)拟议活动产生的更广泛影响。拟议的研究通过帮助制定政策来促进功能良好、有效率的证券市场，从而为行业融资、使投资者受益并刺激增长，从而使社会受益。PI将通过出版物、网站、公开演示以及与其他研究人员的合作来传播数据和结果。该项目通过为学生提供新课程的想法、研究经验和供学生在研究中使用的数据来加强教学和培训。PI还负责JHU经济学荣誉论文项目，他创建了一门课程，向学生介绍学术研究。这门课程灌输了对公益学术研究的欣赏，并经常导致在PI的指导下进行RA-ship、独立研究和论文。直到最近，作为JHU经济系唯一的女性教授教员(之前还在加州理工大学经济学系)，PI已经成为一个特别明显的榜样。她在雇用、建议和指导妇女和少数族裔学生方面有着长期的记录，因此对更广泛的社会目标产生了额外的影响。

The proposed project explores the wide-ranging and essentially unregulated transformation of the New York Stock Exchange into one of the world's premier securities markets from the 1880s through the 1920s, a period of major economic changes, marked by a protracted battle against the arch rival Consolidated Exchange and punctuated by several sharp financial crises. The proposed study investigates several hypotheses in three areas: 1. long-term patterns of microstructure and performance; 2. response to crises and other shocks; and 3. competitive pressures and anti-competitive behavior. The research studies these phenomena, at both the aggregate and security levels, using several measures of market liquidity, transactions costs (and their information and order-processing components), market power, and inter-market price differentials. Tangible outputs include several published articles as well as the first comprehensive database of daily information for all stocks traded on the NYSE and the Consolidated during the period.(1) Intellectual merit of the proposed activityThe proposed work contributes to a relatively new line of research on the 19th and early 20th century development of securities markets as they took on major roles in financing corporate equity during an era of comparatively rudimentary communications technology, narrow markets, thin trading, and before investor protection laws aimed at ensuring information transparency and limiting insider trading. Over the past several years, the PI has made significant strides in laying out the research agenda, formulating testable hypotheses, identifying sources, and gathering large quantities of data. This groundwork, in addition to the PI's prior experience in closely related fields and collaboration with an expert in microstructure, ensures quick and efficient use of funds. The PI and co-author have produced promising results using the first wave of data.The proposed activity expands substantially on this work, and requires much more data than the PI has so far assembled, to accurately identify trends and fluctuations in continuous time, pinpoint effects of specific institutional changes, study several events taking place in years not yet in the database (e.g. financial crises), and evaluate effects of competition with the Consolidated. The proposed data collection is essential to the research plan and also allows comparative analysis with other apparently very different systems (such as Germany) in order to better understand political, legal, and economic influences on stock exchange organization and the impact of microstructure on performance. Ultimately, the study contributes to an understanding of the links between financial systems and economic growth. It also advances knowledge across fields of economics, sociology, political science, history, and legal studies.(2) Broader impacts resulting from the proposed activity.The proposed research benefits society by helping devise policies that promote well-functioning, efficient securities markets that finance industry, benefit investors, and spur growth. The PI will disseminate data and results via publications, a website, public presentations, and collaborations with other researchers. The project enhances teaching and training by providing ideas for new courses, research experience for students, and data for students to use in research. The PI, who also oversees the JHU economics honors thesis program, has created a course to introduce students to academic research. The course instills appreciation of scholarly research for the public good and often leads to RA-ships, independent study, and theses under the PI's guidance. As the only woman professorial faculty member in the JHU Economics department until very recently (and previously in the Caltech economics faculty), the PI has become a particularly visible role model. She has a long-standing record of employing, advising, and mentoring women and minority students, thus having additional impact toward broader societal goals.