Record Details

Deflation and Reflation: The Pre-WW I Impact on NYSE Trading Volumes and Seat Prices

Journal of Economics and Public Finance

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Title Deflation and Reflation: The Pre-WW I Impact on NYSE Trading Volumes and Seat Prices
 
Creator McSherry, Bernard
Wilson, Berry K.
 
Description The study analyzes a unique time period of sustained deflation from 1867 to 1896, followed by sustained reflation after 1896. We use these periods to test two hypotheses concerning the impact on NYSE trading volumes and seat prices. The first is the “liquidity-trading” hypothesis, which hypothesizes that liquidity trading, a component of total trading volume, is positively correlated with interest rates. The second is the price-volume relationship, which hypothesizes a positive relationship between stock prices returns and changes in trading volume. These hypotheses suggest that NYSE trading volume should fall (rise) with falling (rising) stock prices and interest rates. We find strong support for both hypotheses, and additionally show that the impact of stock market prices on trading volumes is highly asymmetrical. As well, the study argues and finds evidence that the high level of systematic risk found in the pricing of NYSE seats is another reflection of the price-volume relationship. Therefore, the study finds strong evidence of a link between deflation, reflation and market liquidity as reflected in trading volumes and the pricing of NYSE seats.
 
Publisher SCHOLINK INC.
 
Contributor —
 
Date 2016-03-29
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.scholink.org/ojs/index.php/jepf/article/view/516
10.22158/jepf.v2n1p106
 
Source Journal of Economics and Public Finance; Vol 2, No 1 (2016); p106
2377-1046
2377-1038
 
Language eng
 
Relation http://www.scholink.org/ojs/index.php/jepf/article/view/516/488
 
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