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The Information Content of Market Liquidity: An Empirical Analysis of Liquidity at the Oslo Stock Exchange?

dc.contributor.authorSkjeltorp, Johannes A.
dc.contributor.authorØdegaard, Bernt Arne
dc.date.accessioned2018-05-08T12:48:32Z
dc.date.available2018-05-08T12:48:32Z
dc.date.issued2009
dc.identifier.isbn978-82-7553-532-8
dc.identifier.issn1502-8143
dc.identifier.urihttp://hdl.handle.net/11250/2497614
dc.description.abstractWe 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.nb_NO
dc.language.isoengnb_NO
dc.publisherNorges Banknb_NO
dc.relation.ispartofseriesWorking Papers;26/2009
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectJEL: G10nb_NO
dc.subjectJEL: G20nb_NO
dc.subjectliquiditynb_NO
dc.subjectbusiness cyclesnb_NO
dc.subjectfinancial crisisnb_NO
dc.subjecteconomic activitynb_NO
dc.titleThe Information Content of Market Liquidity: An Empirical Analysis of Liquidity at the Oslo Stock Exchange?nb_NO
dc.typeWorking papernb_NO
dc.description.versionpublishedVersionnb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212nb_NO
dc.source.pagenumber30nb_NO


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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
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