Our combined sample includes markets from Eastern and Western Europe, North and South America, South and East Asia, Africa and Australasia, however there are notable holes. In particular, no index exists for the Russian market over the one hundred years of its existence, nor are continuous data available for such potentially interesting markets such as Shanghai Stock Exchange from the 1890’s to
the 1940’s and The Teheran Stock Exchange in the 1970’s.
As a consequence, our analysis is confined to a sub-set of the markets that were available, and in all probability, to sub-periods of the duration over which one might trade in them.
There are essentially two general data problems confronting our analysis.
The first is that there may have been markets that existed and were investable in past periods that we have no record of, and are thus not a part of this study.
For example, the origins of the Dutch market date back to the early 1600’s, but we do not have a market index for The Netherlands until 1919.
The second is that we have historical time-series data from markets that existed, but were not investable, or that the surviving data provides a misleading measurement of the returns to measurement.