Table 2 Open in new tab Implicit bid-ask...

	Mean effective bid-ask spread (in %)
London	0.60	–	0.33
Paris	0.89	0.30	0.63
Amsterdam	1.95	1.35	1.69
Zurich	1.52	0.93	1.26

	Mean effective bid-ask spread (in %)
London	0.60	–	0.33
Paris	0.89	0.30	0.63
Amsterdam	1.95	1.35	1.69
Zurich	1.52	0.93	1.26

Table 2

Implicit bid-ask spreads

	Mean effective bid-ask spread (in %)
Dawes bond traded in:	L_i	$L_{j} - L_{s}$	$L_{i} - L_{r}$
London	0.60	–	0.33
Paris	0.89	0.30	0.63
Amsterdam	1.95	1.35	1.69
Zurich	1.52	0.93	1.26

	Mean effective bid-ask spread (in %)
Dawes bond traded in:	L_i	$L_{j} - L_{s}$	$L_{i} - L_{r}$
London	0.60	–	0.33
Paris	0.89	0.30	0.63
Amsterdam	1.95	1.35	1.69
Zurich	1.52	0.93	1.26

This table reports the mean daily effective proportional bid-ask spread of the German Dawes bond in London, Paris, Amsterdam, and Zurich, estimated using Roll’s (1984) method over the June 1934 15, to August 31, 1939, period (L_i). Following Roll (1984), we estimate the bid-ask spread in each market i as $L_{i} = 200 * \sqrt{- cov (R_{i, t}, R_{i, t - 1})}$ ⁠, where R_i is the log-difference of the bond price over the previous trading day. Serial covariance is calculated based on a 21-day time window as suggested by Roll (1984). The table also reports the bid-ask spread differential between each continental market j and the London market s (⁠ $L_{j} - L_{s}$ ⁠) as well as the differential between the Dawes bond’s bid-ask spread on each market i and the bid-ask spread of the British Consol (⁠ $L_{i} - L_{r}$ ⁠). See Appendix A.1.4 for details on the calculations and for comparisons with an alternative liquidity proxy in the spirit of Lesmond, Ogden, and Trzcinka (1999).

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