EURHISTOCK 1

First Seminar ‘European Stock Markets in Historical Perspective’

Universidad Carlos III Madrid

April 24-25, 2009

Organizers

• Stefano Battilossi (Carlos III)
• Pierre-Cyrille Hautcoeur (Paris School of Economics)
• Stefan Houpt (Carlos III)

Sponsors

GlobalEuroNet and Ministerio de Ciencia e Innovación (MICINN)

• ABSTRACT

The EURHISTOCK seminar aims at rallying for the first time a large number of scholars with complementary research paths in the field of the historical development and integration of European stock markets in order to discuss methodological and substantive issue. The first part of the seminar deals with advanced quantitative approaches that provide new insights on the historical working of stock markets around Europe. The second part of the seminar focuses on issues related to the historical development of stock markets’ microstructure and regulation.

• SCIENTIFIC SUMMARY

The historical development of stock markets is an emerging research field at international level. Both theory and empirical studies suggest that deepening capital markets have positively contributed to foster economic growth in emerging economies in the second half of the 20th century. Economists and economic historians show an increasing interest in the historical record of stock market development and integration in order to observe their working in the relatively unregulated (and selfregulated) environment of historical emerging markets. At the same time, they are interested in assessing how subsequent regulation affected their informational efficiency, liquidity, price formation and integration.

Most of the existing literature is obviously dealing with the historical case of the USA (see Atack and Rousseau 1999; Chabot 2000; Sylla et al. 2003; Davis y Neal 2005). At global level, Jorion and Goetzman (2000) and Dymson and Marsh (2001) studied the world stock markets’ returns over the last century.

However, a fresh stream of research on the historical development and performance of European stock markets has emerged recently. Dimson and Marsh (2000) have reconstructed the retuns of the British stock market for different periods over the last two centuries. For Germany, Baten and Korolenko (2004) and Kling and Baltzer (2004) have used a CAPM (Capital Asset pricing Model) approach to assess the informational efficiency of the Berlin stock exchange and test the existence of capital market anomalies (such as “size effects”) at the end of the 19th century. For France, Hautcoeur anb Gallais-Hamonno (2007) have recently published a history of Paris market in the 19th century. For Italy, Baia Curioni (2000) and Riva (2004) have studied the development and regulation of Milan stock exchange and the competition between the latter and other regional stock exchanges before 1914.

Another recent stream of literature has investigated the impact of political, institutional and military events on asset prices. A recent series of papers find systematic evidence of the impact on bond prices of political and military events before and during WW2 (Frey and Kucher 2000 and 2001, Brown and Burdekin 2002, Oosterlinck 2003, Frey and Waldenstrom 2004). Bittlingmayer (1998) suggests that the extreme volatility of German stock market returns in the 1920s were largely determined by political events. This interpretation is challenged by Voth (2001), who finds no empirical evidence supporting the hypothesis that social or political uncertainty significantly affected asset prices in interwar Germany. However, Voth (2002) also finds that indicators of social unrest and the probability of a violent challenge to the economic status quo significantly contributed to the volatility of share prices in a panel of 10 industrialized countries in the period 1919-1939.

In spite of the critical mass achieved by this literature, research has progressed mainly on the base of individual, isolated project. This EURHISTOCK seminar aims at rallying for the first time a large number of scholars with complementary research paths in order to discuss methodological and substantive issues. Moreover, EURHISTOCK is thought of as a long-run initiative that will provide opportunities for integrated research agendas and a permanent forum for scientific discussion.

The first EURHISTOCK seminar will focus on two main areas of research. First, we have invited scholars that use advanced quantitative approaches to offer new insights on the historical development and integration of stock markets around Europe. Second, the focus of discussion will shift towards issues related to the microstructure and regulation of stock markets. The papers invited provide a comprehensive survey of cutting-edge research carried out in Europe in this field. In future meetings, we plan to use our expertise to advance towards methodological convergence as well as to promote a comparative, pan-European approach.

• PROGRAMME