The Liquidity of the Oslo Stock Exchange

This is the homepage for a project financed by "Finansmarkedsfondet".

The project was done in 2008.

Project director: Professor Bernt Arne Ødegaard, University of Stavanger and Norges Bank

Project summary

In this project we analyze the liquidity of the Oslo Stock Exchange from 1980 to today. Using a variety of liquidity measures that can be calculated from relatively low frequency data, such as daily, we will show how liquidity has evolved at the OSE in the period. Preliminary research already show trends in liquidity seemingly related to business cycles. We next ask whether liquidity risk is priced in the Norwegian stock market. First we will look at the crossection of stock returns, and see if liquidity is a determinant of stock returns in the crossection. Preliminary research show evidence of such effects. Next we will investigate whether liquidity is a systematic risk factor, in particular relating it to the business cycle movements we have identified in our preliminary studies. The end result of our study will be the first comprehensive academic investigation of liquidity at the Oslo Stock Exchange, and answers as to whether liquidity matters for asset prices at the Oslo Stock Exchange. As a byproduct this research project will give estimates of the cost of trading equity at the Oslo Stock Exchange. Several of the liquidity estimates we will calculate have direct interpretations in terms of trading costs. They will therefore provide a basis for judgement of the trading costs at the OSE using measures that can be easily compared to other markets.

Nontechnical summary (in Norwegian)

Prosjektresultater (pdf)

Publications

Publications in journals

Hvilke faktorer påvirker Oslo Børs? by Randi Naes, Johannes Skjeltorp and Bernt Arne Ødegaard. Forthcoming in Norsk Økonomisk Tidskrift
Hva koster det å handle aksjer på Oslo Børs? by Bernt Arne Ødegaard. Forthcoming in Praktisk Økonomi og Finans
Bransjesammensetningen av Oslo Børs Forthcoming in Praktisk Økonomi og Finans 2008.

Results

The results of this projects is published in a number of different papers and reports.

Hvilke faktorer påvirker Oslo Børs? by Randi Naes, Johannes Skjeltorp and Bernt Arne Ødegaard. (in Norwegian, an english translation is also available).
This paper is an asset pricing study of the crossection of returns at the Oslo Stock Exchnage, where among other factors liquidity is investigated as a potential priced risk factor.
The Liquidity of the Oslo Stock Exchange by Randi Naes, Johannes Skjeltorp and Bernt Arne Ødegaard.
This paper describes the liquity of the Oslo Stock Exchange.
Liquidity and the Business Cycle by Randi Naes, Johannes Skjeltorp and Bernt Arne Ødegaard.
In this paper we study the link between equity market liquidity and the business cycle, using data for both the US and Norway.
The (implicit) cost of equity trading at the Oslo Stock Exchange by Bernt Arne Ødegaard.
We empirically investigate the costs of trading equity at the Oslo Stock Exchange.
The paper is also available in Norwegian, as Hva koster det å handle aksjer på Oslo Børs?