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|
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- Donald B. Keim & Ananth Madhavan, .
"The Cost of Institutional Equity Trades,"
Rodney L. White Center for Financial Research Working Papers
08-98, Wharton School Rodney L. White Center for Financial Research.
- Donald B. Keim & Ananth Madhavan, . "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers 8-98, Wharton School Rodney L. White Center for Financial Research.
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- Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegard, 2008.
"Liquidity and the business cycle,"
2008/11, Norges Bank.
- Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2008. "Liquidity at the Oslo Stock Exchange," Working Paper 2008/09, Norges Bank.
- Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-41.
- Harris, Larry, 2002. "Trading and Exchanges: Market Microstructure for Practitioners," OUP Catalogue, Oxford University Press, number 9780195144703, March.
- Harris, Lawrence, 1990. " Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator," Journal of Finance, American Finance Association, vol. 45(2), pages 579-90, June.
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