Weak-Form Efficiency in the Nineteenth Century: A Study of Daily Prices in the London Market for 3 per cent Consols, 1821-1860

Brown, Robert L.; Easton, Stephen

doi:10.2307/2554495

Cited by 67 publications

(21 citation statements)

References 20 publications

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“…Brown and Easton (1989) also found there was little change in their results when such points were excluded. For the rest of the analysis the full data set will be used.…”

Section: Arch Evects In 19th Century Consols 303mentioning

confidence: 92%

“…This data set has previously been analysed by Brown and Easton (1989) to determine whether the market during this period was weak form e cient. The authors concluded there was no signi®cant evidence to contradict the hypothesis of weak form e ciency.…”

Section: I Th E D a T A A N D T H E M A R K E Tmentioning

confidence: 99%

“…The data set was collected for the study reported in Brown and Easton (1989). It consists of over 10 000 daily prices from January 1821 to December 1860 collected from Wetenhall's Course of Exchange.…”

Section: I Th E D a T A A N D T H E M A R K E Tmentioning

confidence: 99%

“…Following Brown and Easton (1989), a mean model was ®tted containing all the terms they had found were signi®-cant. This included ARMA terms of various lags and a constant term.…”

Section: The Model For the Consol Datamentioning

confidence: 99%

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Old volatility - ARCH effects in 19th century consol data

Mitchell

Brown²,

Easton³

2002

Applied Financial Economics

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Engle's autoregressive conditional heteroscedasticity (ARCH) model has been used successfully to model volatility in modern financial data. Here the returns on 3% Consols traded on the London market from 1821 to 1860 are examined for timevarying conditional heteroscedasticity. The series contains over 10,000 daily price changes. The analysis produces strong evidence for persistent ARCH effects in the data. Structural changes in the model and periods of increased volatility can be linked to important political and historical events.

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“…Brown and Easton (1989) also found there was little change in their results when such points were excluded. For the rest of the analysis the full data set will be used.…”

Section: Arch Evects In 19th Century Consols 303mentioning

confidence: 92%

Section: I Th E D a T A A N D T H E M A R K E Tmentioning

confidence: 99%

Section: I Th E D a T A A N D T H E M A R K E Tmentioning

confidence: 99%

“…Following Brown and Easton (1989), a mean model was ®tted containing all the terms they had found were signi®-cant. This included ARMA terms of various lags and a constant term.…”

Section: The Model For the Consol Datamentioning

confidence: 99%

See 2 more Smart Citations

Old volatility - ARCH effects in 19th century consol data

Mitchell

Brown²,

Easton³

2002

Applied Financial Economics

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“…The evidence from previous econometric studies of nineteenth century British security markets is that, by and large, a great deal of efficiency was present. See for example Brown and Easton (1989) and Mitchell et al (2002).…”

Section: Introductionmentioning

confidence: 99%

Daily seasonality in 19th century stocks -- some evidence from the Dublin stock exchange

Hope

Lucey

2007

Applied Economics Letters

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Volatility in an era of reduced uncertainty: Lessons from Pax Britannica

Brown¹,

Burdekin²,

Weidenmier³

2006

Journal of Financial Economics

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Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has been less emphasis on the importance of underlying economic and political stability. In this paper we study the behavior of consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation, however.

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Weak-Form Efficiency in the Nineteenth Century: A Study of Daily Prices in the London Market for 3 per cent Consols, 1821-1860

Cited by 67 publications

References 20 publications

Old volatility - ARCH effects in 19th century consol data

Old volatility - ARCH effects in 19th century consol data

Daily seasonality in 19th century stocks -- some evidence from the Dublin stock exchange

Volatility in an era of reduced uncertainty: Lessons from Pax Britannica

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