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The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange

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Author Info

  • Skjeltorp, Johannes

    (Norges Bank)

  • Ødegaard, Bernt Arne

    ()
    (University of Stavanger)

Abstract

We investigate the information content of aggregate stock market liquidity and ask whether it may be a useful realtime indicator, both for financial stress, and real economic activity in Norway. We describe the development in a set of liquidity proxies at the Oslo Stock Exchange (OSE) for the period 1980-2008, with particular focus on crisis period 2007 through 2008, showing how market liquidity and trading activity changed for the whole market as well as for individual industry sectors. We also evaluate the predictive power of market liquidity for economic growth both in-sample and out-of-sample.

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File URL: http://www1.uis.no/ansatt/odegaard/uis_wps_econ_fin/uis_wps_2009_35_skjeltorp_odegaard.pdf
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Bibliographic Info

Paper provided by University of Stavanger in its series UiS Working Papers in Economics and Finance with number 2009/35.

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Length: 31 pages
Date of creation: 03 Dec 2009
Date of revision:
Handle: RePEc:hhs:stavef:2009_035

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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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Keywords: Liquidity; Business Cycles; Financial crisis; Economic Activity;

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Cited by:
  1. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers, Business School - Economics, University of Glasgow 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
  2. Florackis, Chris & Kostakis, Alexandros & Kontonikas, Alexandros, 2011. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2011-31, Scottish Institute for Research in Economics (SIRE).

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