The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange

Johannes Skjeltorp and Bernt Ødegaard

No 2009/35, UiS Working Papers in Economics and Finance from University of Stavanger

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 (search for similar items in EconPapers)
JEL-codes: G10 G20 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2009-12-03
New Economics Papers: this item is included in nep-ban, nep-fmk and nep-mst
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Citations: View citations in EconPapers (4)

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Working Paper: The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange? (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:stavef:2009_035

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