Similarities in the Distribution of Stock Market Price Changes between the Eighteenth and Twentieth Centuries

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Abstract
Are all financial time series alike? This article raises that question by establishing that eighteenth‐ and twentieth‐century equity‐market time series behave similarly. The distribution of price changes now and then both exhibit the same patterns or regularities. In particular, the distribution of price changes is leptokurtic, and fluctuations in variance are persistent. This article provides further evidence that financial market regularities are stable and not contingent on specific times and places. The historical evidence shows that eighteenth‐century stock markets and traders are not so different from those of today.