The liquidity of the Secondary Market for Debt Securities in Norway
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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| Length: | 31 pages |
| Date of creation: | 17 Jul 2012 |
| Date of revision: | |
| Handle: | RePEc:hhs:stavef:2012_012 |
| Contact details of provider: | Postal: University of Stavanger, NO-4036 Stavanger, Norway Web page: http://www.uis.no/research/economics_and_finance More information through EDIRC
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2009.
"Liquidity Cycles and Make/Take Fees in Electronic Markets,"
Working Papers
hal-00489430, HAL.
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2013. "Liquidity Cycles and Make/Take Fees in Electronic Markets," Journal of Finance, American Finance Association, vol. 68(1), pages 299-341, 02.
- Foucault, Thierry & Kadan, Ohad & Kandel, Eugene, 2009. "Liquidity cycles and make/take fees in electronic markets," CEPR Discussion Papers 7551, C.E.P.R. Discussion Papers.
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2013. "Liquidity Cycles and Make/Take Fees in Electronic Markets," Post-Print hal-00789263, HAL.
- Foucault, Thierry & Kadan, Ohad & Kandel, Eugene, 2009. "Liquidity cycles and make/take fees in electronic markets," Les Cahiers de Recherche 920, HEC Paris.
- Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009.
"Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(3), pages 925-957, March.
- 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.
- 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
2010/3, University of Stavanger.
- Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2010. "Why do firms pay for liquidity provision in limit order markets?," Working Paper 2010/12, Norges Bank.
- Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2008.
"The risk components of liquidity,"
Working Paper
2008/03, Norges Bank.
- Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2008. "The Risk Components of Liquidity," Discussion Papers 2008/7, Department of Business and Management Science, Norwegian School of Economics.
- Naes, Randi & Skjeltorp, Johannes & Odegaard, Bernt Arne, 2008.
"Liquidity and the Business Cycle,"
UiS Working Papers in Economics and Finance
2009/1, University of Stavanger.
- Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegard, 2008. "Liquidity and the business cycle," Working Paper 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.
- Long Chen & David A. Lesmond & Jason Wei, 2007. "Corporate Yield Spreads and Bond Liquidity," Journal of Finance, American Finance Association, vol. 62(1), pages 119-149, 02.
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