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The liquidity of the Secondary Market for Debt Securities in Norway


Author Info

  • Rakkestad, Ketil

    (Norges Bank)

  • Skjeltorp, Johannes

    (Norges Bank)

  • Ødegaard, Bernt Arne

    (University of Stavanger)


The main purpose of this project is to examine the liquidity and activity in the secondary market for Norwegian debt securities. The second objective is to determine whether the activity and data availability is sufficient to construct indicators that can be used to monitor the state of Norwegian bond market on a regular basis. To this end we examine a detailed data set provided to us by Oslo B{\o}rs Informasjon (OBI) containing the complete record of daily trading activity in all exchange listed fixed income securities in Norway over the period 1999-2011. Due to the low trading activity in corporate securities and the fact that a large part of trading in corporate debt is conducted off market (OTC), makes it challenging to produce reliable liquidity indicators. In particular, order based liquidity measures (such as the bid ask spread), that typically are superior measures of liquidity supply, are in most cases not possible to construct due to the lack of two sided quote observation. On the other hand, due to the reporting rules of all OTC trades to the Oslo Stock Exchange, trade based measures of liquidity (such as the Amihud ILR) are more informative.

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Bibliographic Info

Paper provided by University of Stavanger in its series UiS Working Papers in Economics and Finance with number 2012/12.

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Length: 31 pages
Date of creation: 17 Jul 2012
Date of revision:
Handle: RePEc:hhs:stavef:2012_012

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Postal: University of Stavanger, NO-4036 Stavanger, Norway
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Related research

Keywords: Liquidity; Norwegian Bond Market;

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  1. Foucault, Thierry & Kadan, Ohad & Kandel, Eugene, 2009. "Liquidity cycles and make/take fees in electronic markets," Les Cahiers de Recherche 920, HEC Paris.
  2. Skjeltorp, Johannes A & Odegaard, Bernt Arne, 2010. "Why do firms pay for liquidity provision in limit order markets?," UiS Working Papers in Economics and Finance, University of Stavanger 2010/3, University of Stavanger.
  3. Long Chen & David A. Lesmond & Jason Wei, 2007. "Corporate Yield Spreads and Bond Liquidity," Journal of Finance, American Finance Association, American Finance Association, vol. 62(1), pages 119-149, 02.
  4. Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2008. "The risk components of liquidity," Working Paper, Norges Bank 2008/03, Norges Bank.
  5. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006. "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers 12376, National Bureau of Economic Research, Inc.
  6. Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegard, 2008. "Liquidity and the business cycle," Working Paper, Norges Bank 2008/11, Norges Bank.
  7. Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2008. "Liquidity at the Oslo Stock Exchange," Working Paper, Norges Bank 2008/09, Norges Bank.
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