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Liquidity at the Oslo Stock Exchange


  • Randi Næs

    (Norges Bank (Central Bank of Norway))

  • Johannes A. Skjeltorp

    () (Norges Bank (Central Bank of Norway))

  • Bernt Arne Ødegaard

    (Norwegian School of Management and Norges Bank (Central Bank of Norway))


We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian economy for the period 1980 to 2007. We calculate different liquidity measures that captures various dimensions of liquidity over time and across industry groups. Overall, we find that the liquidity at the OSE has improved over the sample period. However, the improvement is most pronounced for the largest firms on the exchange. Interestingly, some measures indicate that the implicit cost of trading has been lower in earlier periods than it is today. Another important finding is that there is a strong counter cyclical relationship between proportional transaction costs measured by the relative spread and the business cycle measured by the output gap. The average relative spread also responds very quickly to the turning points of the business cycle. This result suggest that liquidity measures provide important real time information about the current state of the economy as well as market participants expectations about future economic growth.

Suggested Citation

  • Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2008. "Liquidity at the Oslo Stock Exchange," Working Paper 2008/09, Norges Bank.
  • Handle: RePEc:bno:worpap:2008_09

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    Cited by:

    1. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    2. Rakkestad, Ketil & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2012. "The liquidity of the Secondary Market for Debt Securities in Norway," UiS Working Papers in Economics and Finance 2012/12, University of Stavanger.
    3. Johannes Atle Skjeltorp & Bernt Arne Ødegaard, 2015. "When Do Listed Firms Pay for Market Making in Their Own Stock?," Financial Management, Financial Management Association International, vol. 44(2), pages 241-266, June.
    4. Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2009/35, University of Stavanger.
    5. Ødegaard, Bernt Arne, 2009. "The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?," UiS Working Papers in Economics and Finance 2009/17, University of Stavanger.
    6. Switzer, Lorne N. & Picard, Alan, 2016. "Stock market liquidity and economic cycles: A non-linear approach," Economic Modelling, Elsevier, vol. 57(C), pages 106-119.
    7. Ødegaard, Bernt Arne, 2012. "Empirics of the Oslo Stock Exchange. Liquidity results 1980-2011," UiS Working Papers in Economics and Finance 2012/5, University of Stavanger.
    8. Odegaard, Bernt Arne, 2017. "The Liquidity of the Oslo Stock Exchange -- A Source Book 1980-2016," UiS Working Papers in Economics and Finance 2017/1, University of Stavanger.
    9. Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2010. "Why do firms pay for liquidity provision in limit order markets?," Working Paper 2010/12, Norges Bank.
    10. Ødegaard, Bernt Arne, 2016. "Bond Liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2016/16, University of Stavanger.

    More about this item


    Liquidity; Market microstructure;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading


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