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

拟议的项目探讨了纽约证券交易所从19世纪80年代到20世纪20年代广泛而基本上不受监管的转变，成为世界上最大的证券市场之一，这是一个重大的经济变革时期，其标志是与主要竞争对手联合交易所的长期斗争，并被几次严重的金融危机所中断。提出的研究调查了三个方面的几个假设：1。微观结构和性能的长期变化规律；2. 应对危机和其他冲击；和3。竞争压力与反竞争行为。本研究使用市场流动性、交易成本（及其信息和订单处理组成部分）、市场力量和市场间价差等几种指标，在总量和安全水平上研究了这些现象。具体产出包括几篇已发表的文章以及第一个综合数据库，其中包括在此期间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。(1)拟议活动的知识价值拟议的工作有助于研究19世纪和20世纪初证券市场的发展，因为在通信技术相对初级、市场狭窄、交易清淡的时代，以及旨在确保信息透明度和限制内幕交易的投资者保护法出台之前，证券市场在融资公司股权方面发挥了重要作用。在过去的几年中，PI在制定研究议程、制定可测试的假设、确定来源和收集大量数据方面取得了重大进展。这些基础工作，加上PI之前在密切相关领域的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和合作者利用第一波数据得出了有希望的结果。拟议的活动大大扩展了这项工作，需要比PI迄今收集的数据多得多的数据，以便准确地确定连续时间内的趋势和波动，查明具体体制变化的影响，研究在尚未列入数据库的年份发生的若干事件（例如金融危机），并评估与综合指数竞争的影响。拟议的数据收集对研究计划至关重要，也允许与其他明显非常不同的系统（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绩效的影响。最终，这项研究有助于理解金融体系与经济增长之间的联系。它还促进了经济学、社会学、政治学、历史学和法学等领域的知识。(2)拟议活动所产生的更广泛影响。拟议的研究通过帮助制定政策来促进运作良好，高效的证券市场，为行业提供资金，使投资者受益，并刺激增长，从而造福社会。PI将通过出版物、网站、公开演讲以及与其他研究人员的合作来传播数据和结果。该项目通过为新课程提供思路、为学生提供研究经验和为学生提供研究数据来加强教学和培训。PI还负责管理JHU经济学荣誉论文项目，他开设了一门课程，向学生介绍学术研究。这门课程灌输了对公共利益的学术研究的欣赏，并经常导致在PI的指导下获得研究报告，独立研究和论文。直到最近，作为JHU经济系唯一的女性教授（之前是加州理工学院的经济学教授），PI已经成为一个特别明显的榜样。她在雇佣、建议和指导女性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.