Micro Rules and Macro Outcomes: The Impact of Micro Structure on the Efficiency of Security Exchanges, London, New York, and Paris, 1800-1914

When a formal securities market is established there are choices about the structure of the operating rules that must be made before the market can begin to function. Those choices may be made by the "owners9" of the market or they may be made by governments. In either case, these rules constitute the micro structure of the securities market; and that structure, in turn, will have a substantial impact on the efficiency of the exchange in terms of costs, scope, volume, and level of penetration. This paper examines the differential impact of the rules governing the initial definition, and the enforcement, of property rights in the London, New York, and Paris securities exchange markets over the course of the long 19th century, 1800-1914. In 1914, listings on the London Stock Exchange encompassed nearly one-third of the paid-up value of all negotiable securities in the world (f? 10.7 billion out of a total of ?32.6 billion), and in every industrial category (gov