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
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