Scandinavian Working Papers in Economics
UiS Working Papers in Economics and Finance,
University of Stavanger
No 2009/17: The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?
Bernt Arne Ødegaard ()
Additional contact information
Bernt Arne Ødegaard: University of Stavanger, Postal: University of Stavanger, NO-4036 Stavanger, Norway
Abstract: 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.
Keywords: Market Microstructure; Trading costs
14 pages, April 9, 2009
Full text files
uis_wps_2009_17_odegaard.pdf
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