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Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829-1929

Author

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  • Grossman, Richard
  • Campbell, Gareth
  • Turner, John
Abstract
This paper presents new monthly capital gains, dividend yield, and total return indices for common equities quoted on British stock exchanges from 1829 to 1929. As well as creating an all-share index, we create a blue-chip index of the 30 largest companies, which we splice to the Financial Times 30 index to create a near-two-century-long (1829-2018) monthly share index. We use the new indices to examine the timing of British business cycles and compare the returns on home and foreign UK investment. We also construct indices for 22 domestic sectors, and calculate CAPM betas for each sector.

Suggested Citation

  • Grossman, Richard & Campbell, Gareth & Turner, John, 2019. "Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829-1929," CEPR Discussion Papers 13717, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:13717
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    References listed on IDEAS

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    Cited by:

    1. Rebecca Stuart, 2024. "Measuring stock market integration during the Gold Standard," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 18(1), pages 191-220, January.
    2. Alquist, Ron & Chabot, Benjamin R. & Yamarthy, Ram, 2022. "The price of property rights: Institutions, finance, and economic growth," Journal of International Economics, Elsevier, vol. 137(C).
    3. Dimitris P. Sotiropoulos & Janette Rutterford & Carolyn Keber, 2020. "UK investment trust portfolio strategies before the First World War," Economic History Review, Economic History Society, vol. 73(3), pages 785-814, August.
    4. Rebecca Stuart, 2022. "Stock Return Predictability before the First World War," IRENE Working Papers 22-02, IRENE Institute of Economic Research.

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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • N13 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: Pre-1913
    • N14 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: 1913-
    • N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913
    • N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-

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