The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?
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.
|Date of creation:||09 Apr 2009|
|Date of revision:|
|Contact details of provider:|| Postal: University of Stavanger, NO-4036 Stavanger, Norway|
Web page: http://www.uis.no/research/economics_and_finance
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