Those who know most: Insider trading in eighteenth-century Amsterdam

Peter Koudijs*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

17 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)1356-1409
Number of pages54
JournalJournal of Political Economy
Volume123
Issue number6
DOIs
Publication statusPublished - Dec 2015
Externally publishedYes

Bibliographical note

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© 2015 by The University of Chicago. All rights reserved.

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