Those Who Know Most: Insider Trading in Eighteenth-Century Amsterdam

• 成果类型: Article
• 署名作者: Koudijs, Peter
• 署名单位: Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/683839
• 发表日期: 2015
• 页码: 1356-1409
• 关键词: market liquidity; risk-aversion; Order Flow; INFORMATION; EFFICIENCY; speculation; INVESTMENT; returns; volume

摘要

This paper studies how private information is incorporated into prices, using a unique setting from the eighteenth century that is closer to stylized models of price discovery than modern-day markets. Specifically, the paper looks at English securities traded in both London and Amsterdam. Private information reached Amsterdam through sailing boats that sailed only twice a week and in adverse weather could not sail at all. Results are consistent with a Kyle model in which informed agents trade strategically. Most importantly, the speed of information revelation in Amsterdam depended on the expected time until the private signal would become public.