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The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?

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Author Info
Ødegaard, Bernt Arne () (University of Stavanger)

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Abstract

We 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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File URL: http://www1.uis.no/ansatt/odegaard/uis_wps_econ_fin/uis_wps_2009_17_odegaard.pdf
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Publisher Info
Paper provided by University of Stavanger in its series UiS Working Papers in Economics and Finance with number 2009/17.

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Length: 14 pages
Date of creation: 09 Apr 2009
Date of revision:
Handle: RePEc:hhs:stavef:2009_017

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Postal: University of Stavanger, NO-4036 Stavanger, Norway
Web page: http://www.uis.no/research/economics_and_finance
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Related research
Keywords: Market Microstructure; Trading costs;

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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

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References listed on IDEAS
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.:
  1. 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.
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  2. 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. [Downloadable!] (restricted)
  3. Naes, Randi & Odegaard, Bernt Arne, 2006. "Equity trading by institutional investors: To cross or not to cross?," Journal of Financial Markets, Elsevier, vol. 9(2), pages 79-99, May. [Downloadable!] (restricted)
  4. repec:fth:pennfi:68 is not listed on IDEAS
  5. Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2008. "Liquidity at the Oslo Stock Exchange," Working Paper 2008/09, Norges Bank. [Downloadable!]
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This page was last updated on 2009-11-5.

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