The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?
AbstractWe empirically investigate the costs of trading equity at the Oslo Stock Exchange in the period 1980--2008. We show the time series evolution of different measures of (implicit) trading costs: bid/ask spreads, the Roll(1984) measure and the Lesmond et al (1999) measure. We find a clear time variation in these measures, with estimated trading costs much lower in the late eighties and nineties than in the early nineties and just after 2000. The cost of trading has sunk in recent years, but not dramatically compared to earlier periods.
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Bibliographic InfoPaper provided by University of Stavanger in its series UiS Working Papers in Economics and Finance with number 2009/17.
Length: 14 pages
Date of creation: 09 Apr 2009
Date of revision:
Market Microstructure; Trading costs;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-41.
- Naes, Randi & Skjeltorp, Johannes & Odegaard, Bernt Arne, 2008.
"Liquidity and the Business Cycle,"
UiS Working Papers in Economics and Finance
2009/1, University of Stavanger.
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- Harris, Larry, 2002. "Trading and Exchanges: Market Microstructure for Practitioners," OUP Catalogue, Oxford University Press, number 9780195144703.
- Harris, Lawrence, 1990. " Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator," Journal of Finance, American Finance Association, vol. 45(2), pages 579-90, June.
- repec:fth:pennfi:68 is not listed on IDEAS
- Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2008. "Liquidity at the Oslo Stock Exchange," Working Paper 2008/09, Norges Bank.
- Donald B. Keim & Ananth Madhavan, .
"The Cost of Institutional Equity Trades,"
Rodney L. White Center for Financial Research Working Papers
8-98, Wharton School Rodney L. White Center for Financial Research.
- Donald B. Keim & Ananth Madhavan, . "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers 08-98, Wharton School Rodney L. White Center for Financial Research.
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