Scandinavian Working Papers in Economics
UiS Working Papers in Economics and Finance,
University of Stavanger
No 2009/35: The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange
Johannes Skjeltorp and Bernt Arne Ødegaard ()
Additional contact information
Johannes Skjeltorp: Norges Bank
Bernt Arne Ødegaard: University of Stavanger, Postal: University of Stavanger, NO-4036 Stavanger, Norway
Abstract: We investigate the information content of aggregate stock market liquidity and ask whether it may be a useful realtime indicator, both for financial stress, and real economic activity in Norway. We describe the development in a set of liquidity proxies at the Oslo Stock Exchange (OSE) for the period 1980-2008, with particular focus on crisis period 2007 through 2008, showing how market liquidity and trading activity changed for the whole market as well as for individual industry sectors. We also evaluate the predictive power of market liquidity for economic growth both in-sample and out-of-sample.
Keywords: Liquidity; Business Cycles; Financial crisis; Economic Activity
31 pages, December 3, 2009
Full text files
uis_wps_2009_35_skjeltorp_odegaard.pdf
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