Trading in equity markets : a study of individual, institutional and corporate trading decisions

Abstract

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. In the first two chapters of the thesis Johannes A. Skjeltorp studies the trading behaviour of various participants transacting both in the US and Norwegian equity markets, and how differential information affects transaction costs, price discovery and volatility. The first chapter applies proprietary data from the Norwegian Government Petroleum Fund, and is thus part of the ongoing research in Norges Bank related to the bank’s management of the Petroleum Fund. The second part of the thesis examines open market repurchases, a relatively new phenomenon in Norway, where the firm is an active trader in its own stock. The main question examined is whether firms’ open market repurchases are related to private information and how this affects the pricing and ownership structure of these firms. This thesis is part of the author’s Dr. oecon. exam at BI Norwegian School of Management, Department of Financial Economics. The thesis was defended on 1 September 2004, and Norges Bank is pleased to make this dissertation available to a wider audience by publishing it as Doctoral Dissertation in Economics No. 4.