The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?

Bernt Ødegaard

No 2009/17, UiS Working Papers in Economics and Finance from University of Stavanger

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 (search for similar items in EconPapers)
JEL-codes: G10 G20 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2009-04-09
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:stavef:2009_017

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