Blar i Norges Banks vitenarkiv på forfatter "Skjeltorp, Johannes A."
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Aksjemarkedets mikrostruktur – betyr det noe?
Næs, Randi; Skjeltorp, Johannes A. (Journal article, 2006)Mikrostrukturmodeller skiller seg fra tradisjonelle finansmodeller ved å åpne for at lovlig informasjon om underliggende selskapsverdier kan være ulikt fordelt og analysert mellom markedsaktørene. Litteraturen på fagområdet ... -
Equity Trading by Institutional Investors: Evidence on Order Submission Strategies
Næs, Randi; Skjeltorp, Johannes A. (Working Papers;12/2002, Working paper, 2002)The trading volume channeled through off-market crossing networks is growing. Passive matching of orders outside the primary market lowers several components of execution costs compared to regular trading. On the other ... -
Hvilke faktorer driver kursutviklingen på Oslo Børs?
Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;8/2007, Working paper, 2007)I denne rapporten analyserer vi avkastningsmønstret på Oslo Børs over perioden 1980- 2006. Formålet med rapporten er å analysere drivkreftene bak kursutviklingen i det norske aksjemarkedet. Et viktig siktemål med analysen ... -
Identifying Cross-Sided Liquidity Externalities
Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah (Working Papers;20/2012, Working paper, 2012)We study the relevance of the cross-sided externality of liquidity between market makers and takers from the two-sided market perspective and test the empirical implications of the Foucault, Kadan, and Kandel (2012) model. ... -
Is the Market Microstructure of Stock Markets Important?
Næs, Randi; Skjeltorp, Johannes A. (Journal article, 2006)The market microstructure literature studies how the actual transaction process – i.e. how buyers and sellers find one another and agree on a price – can affect price formation and trading volumes in a market. This article ... -
Liquidity and the Business Cycle
Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (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
Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (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 ... -
Risikopåslag på bankenes langsiktige innlån
Berg, Sigbjørn Atle; Rakkestad, Ketil Johan; Skjeltorp, Johannes A. (Staff Memo;1/2014, Working paper, 2014)Banksektoren finansierer en stor del av sin balanse med innlån fra markedet. Slike innlån består av innskudd og innlån fra andre kredittinstitusjoner og Norges Bank, utstedelse av banksertifikater og bankobligasjoner, og ... -
Sikkerhet for lån i Norges Bank - Virkningen av endringer i Norges Banks regelverk på bankenes verdipapirporteføljer og utstedelser
Igland, Sigrid; Skjeltorp, Johannes A. (Staff Memo;8/2011, Working paper, 2011) -
Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets
Næs, Randi; Skjeltorp, Johannes A. (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 ... -
Sunshine Trading: Flashes of Trading Intent at the Nasdaq
Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah (Working Papers;17/2011, Working paper, 2011)We use the introduction and the subsequent removal of the flash order facility (an actionable indication of interest, IOI) from Nasdaq as a natural experiment to investigate the impact of voluntary disclosure of trading ... -
The Information Content of Market Liquidity: An Empirical Analysis of Liquidity at the Oslo Stock Exchange?
Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;26/2009, Working paper, 2009)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 ... -
The Market Impact and Timing of Open Market Share Repurchases in Norway
Skjeltorp, Johannes A. (Working Papers;8/2004, Working paper, 2004)This paper examines a detailed dataset on open market repurchase announcements and actual repurchases conducted by Norwegian firms during the period 1998-2001. Firms that announce a repurchase plan experience a positive ... -
The Ownership Structure of Repurchasing Firms
Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;7/2004, Working paper, 2004)This paper provides an examination of the ownership structure in Norwegian firms that announced repurchase plans during the period 1999 through 2001, as well as for groups of these firms conditional on whether they actually ... -
The Risk Components of Liquidity
Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (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, ... -
Trading in equity markets : a study of individual, institutional and corporate trading decisions
Skjeltorp, Johannes A. (Doctoral Dissertations in Economics;4, Doctoral thesis, 2005-07-20)Market microstructure has become an increasingly important research area in empirical finance. Due to the improved availability of detailed intraday data, theoretical predictions about investor behaviour can now be tested. ... -
What Captures Liquidity Risk? a Comparison of Trade and Order Based Liquidity Factors
Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Working Papers;3/2007, Working paper, 2007)Is the effect of liquidity risk on asset prices sensitive to our choice of liquidity proxy? In addressing this fundamental question, we achieve two main results. First, when we estimate factor models on a broad range of ... -
What Factors Affect the Oslo Stock Exchange?
Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;24/2009, Working paper, 2009)This paper analyzes return patterns and determinants at the Oslo Stock Exchange (OSE) in the period 1980-2006. We find that a three-factor model containing the market, a size factor and a liquidity factor provides a ... -
Why Do Firms Pay for Liquidity Provision in Limit Order Markets?
Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;12/2010, Working paper, 2010)In recent years, a number of electronic limit order markets have reintroduced market makers for some securities (Designated Market Makers). This trend has mainly been initiated by financial intermediaries and listed firms ...