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- Title
Weak-form Efficiency in the Nineteenth Century: A Study of Daily Prices in the London Market for 3 per cent Consuls, 1821-1860.
- Authors
Brown, Robert L.; Easton, Stephen A.
- Abstract
Although a number of studies published in the economic history literature discuss the development, organization and function of the London Stock Exchange, there is little quantitative evidence on how well this market functioned. This is a significant omission, since the finance literature provides a well developed set of criteria against which the performance of capital markets may be judged. In particular, the finance literature emphasizes the importance of the efficient impounding of information into market prices. So-called 'weak-form efficiency' is the least demanding version and is therefore the logical starting point. This paper reports the results of weak-form efficiency tests of the London market for 3 per cent Consols from 1821 to 1860. The tests are based on over 10,000 daily price changes, The evidence presented here is similar to that found in contemporary markets, suggesting that the market for 3 per cent Consols was efficient in the weak-form sense. From a finance perspective, this market is of interest, given the institutional differences between it and contemporary markets. From an economic history perspective, this security is of special interest, given its frequent use in economic history analyses.
- Subjects
LONDON (England); ENGLAND; ECONOMIC indicators; ECONOMIC development; CAPITAL market; STOCK exchanges; SECURITIES trading; FINANCIAL markets
- Publication
Economica, 1989, Vol 56, Issue 221, p61
- ISSN
0013-0427
- Publication type
Article
- DOI
10.2307/2554495