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FINANSMARK-Finansmarkedet

The Liquidity of the Oslo Stock Exchange

Awarded: NOK 0.20 mill.

Project Number:

185320

Project Period:

2008 - 2008

Funding received from:

Location:

Subject Fields:

In this project we propose to 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 th e 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. A s 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 bas is for judgement of the trading costs at the OSE using measures that can be easily compared to other markets.

Funding scheme:

FINANSMARK-Finansmarkedet

Thematic Areas and Topics

No thematic area or topic related to the project