Browsing Norges Banks vitenarkiv by Subject "market microstructure"
Now showing items 1-9 of 9
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Foreign Exchange Market Structure, Players and Evolution
(Working Papers;10/2011, Working paper, 2011)Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction ... -
Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period
(Working Papers;11/2007, Working paper, 2007)We use data on actual holding periods for all investors in a stock market over a 10 year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown ... -
Liquidity and the Business Cycle
(Working Papers;11/2008, Working paper, 2008)We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market liquidity worsen when the economy is slowing down, and this effect is most pronounced for small firms. Using ... -
Liquidity at the Oslo Stock Exchange
(Working Papers;9/2008, Working paper, 2008)We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian economy for the period 1980 to 2007. We calculate different liquidity measures that captures various ... -
Ownership Structure and Stock Market Liquidity
(Working Papers;6/2004, Working paper, 2004)This paper studies the relationship between company ownership and market liquidity using a panel regression approach. The data sample contains detailed transactions data from a limit order driven stock market, and a full ... -
Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets
(Working Papers;9/2003, Working paper, 2003)We examine the volume-volatility relation using detailed data from a limit order driven equity market. Estimates of the intraday slope of the demand and supply schedules of the order book are found to capture regularities ... -
The Bank of England as the World Gold Market-Maker During the Classical Gold Standard Era, 1889-1910
(Working Papers;15/2012, Working paper, 2012)This paper studies the microfoundations of the so-called "gold device" policy by analysing a new dataset on the Bank of England's operations in the gold market at the heyday of the classical gold standard. It explains that ... -
The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
(Working Papers;12/2013, Working paper, 2013)Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure ... -
The Risk Components of Liquidity
(Working Papers;3/2008, Working paper, 2008)Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ...