Market History
and Statistics
*NEW*
For a treasure
trove of stock market historical statistics, updated quarterly, go to
Robert Shiller's
home page, then click on "Information site for Irrational Exuberance," and then click
on "Data set" to download an Excel file. For additional historical NYSE data, go to
http://icf.som.yale.edu/nyse/downloads.php.
*NEW*
Medici Money:
Banking, Metaphysics, and Art in Fifteenth Century Florence, by Tim Parks
(Atlas Books/W. W. Norton, 2005). We have not in the past mentioned books
in this section of our site, but this particular little book (250 pages of generous
type) has such beguiling information about financial transactions of 500 years ago
that we have to bring it to your attention. Money moved around Europe on bills of
exchange and letters of credit with remarkably little specie ever having to travel.
Even better, as usury was a terrible sin – it was “unnatural,” which made it much
more sinful than adultery or lying – bankers became geniuses at inventing
transactions in which they were repaid more than they lent but nothing was ever
identified as “interest.” On loans to foreigners, for example, they jiggered the
exchange rate one way to transfer money to a borrower, and then rejiggered it
coming the other way so that the borrower would repay more than the original amount.
No wonder Cosimo di Medici declared, “Even if money could be made by waving a wand,
I would still be a banker.” As Parks observes, “Banking involves manipulation,
risk, power. It’s magic that works.” (p. 62)
The Halloween
Indicator, “Sell
in May and go away”: Another puzzle, American Economic Review,
Vol.92, No. 3. It works. Stock returns in 36 out of 37 countries
studied – including emerging markets - are higher between November
and April than between May and October. For the U.K. market, the
Sell in May effect has been working since 1694. “History and
practice tells us that the old saying is right, while stock market
logic tells us it is wrong. It seems that we have not yet solved
this new puzzle.”
Stock
market crashes and their aftermath: Implications for monetary policy,
by Frederick Mishkin and Eugene White, NBER working
paper #w8992, June 2002. This paper examines fifteen historical episodes
of stock market crashes and their aftermath in the United States over
the last one hundred years. The authors conclude that financial instability
is the key problem facing monetary policy makers and not stock market
crashes, even if they reflect the possible bursting of a bubble. With
a focus on financial stability rather than the stock market, the response
of central banks to stock market fluctuations is more likely to be
optimal and maintain support for the independence of the central bank
New
indices of British equity prices, 1870-1913, by Richard Grossman,
The Journal of Economic History,
March 2002. The
British capital markets were the parents of markets in the U.S. Their
history is important and relevant to everybody trying to understand
today’s market behavior. This particular analysis is much broader
than earlier efforts, covering over 40,000 observations on 2700 companies.
