empirics of the oslo stock exchange:. liquidity results. · 2018-08-23 ·...
TRANSCRIPT
Empirics of the Oslo Stock Exchange:.Liquidity results.
Bernt Arne Ødegaard∗
Apr 2012
Contents
1 Introduction 1
2 The evolution of liquidity measures at the OSE over time 12.1 Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12.2 Bid ask spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62.3 Relative bid ask spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112.4 No trading days . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162.5 Amivest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182.6 Amihud Illiq . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.6.1 Amihud Illiq–calculated from daily returns . . . . . . . . . . . . . . . . . . 212.6.2 Amihud Illiq–calculated from monthly returns . . . . . . . . . . . . . . . . 25
2.7 Lesmond Ogden Trzcinka . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292.8 Roll . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 322.9 Liu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 362.10 Atkins Dyl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402.11 Amortized spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 422.12 Pastor Stambaugh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
1 Introduction
This report describes measures of liquidity at the Oslo Stock Exchange. The analyses areessentially updates (through 2010) of those done in Næs, Skjeltorp, and Ødegaard (2008), andwe refer to that paper for definitions.
2 The evolution of liquidity measures at the OSE over time
In this section we provide time series plots of a number of liquidity measures.
2.1 Turnover
∗University of Stavanger and Norges Bank. The views expressed are those of the author and should not beinterpreted as reflecting those of Norges Bank.
1
Figure 1 Time series evolution of daily Turnover
0
0.005
0.01
0.015
0.02
0.025
0.03
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.05
0.1
0.15
0.2
0.25
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
2
Figure 2 Time series evolution of monthly Turnover
0
0.05
0.1
0.15
0.2
0.25
0.3
0.35
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.2
0.4
0.6
0.8
1
1.2
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
3
Figure 3 Time series evolution of quarterly Turnover
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
4
Figure 4 Time series evolution of annual Turnover
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
1
2
3
4
5
6
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
1
2
3
4
5
6
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
5
2.2 Bid ask spread
6
Figure 5 Time series evolution of daily Bid/ask spread
0
1
2
3
4
5
6
7
8
9
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
10
20
30
40
50
60
70
80
90
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
20
40
60
80
100
120
140
160
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
7
Figure 6 Time series evolution of monthly average Bid/ask spread
1
2
3
4
5
6
7
8
9
10
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
5
10
15
20
25
30
35
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
10
20
30
40
50
60
70
80
90
100
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
8
Figure 7 Time series evolution of quarterly average Bid/ask spread
1
2
3
4
5
6
7
8
9
10
11
12
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
5
10
15
20
25
30
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
10
20
30
40
50
60
70
80
90
100
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
9
Figure 8 Time series evolution of annual average Bid/ask spread
1
2
3
4
5
6
7
8
9
10
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
2
4
6
8
10
12
14
16
18
20
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
5
10
15
20
25
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
10
2.3 Relative bid ask spread
11
Figure 9 Time series evolution of daily Relative bid/ask Spread
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0.05
0.055
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.05
0.1
0.15
0.2
0.25
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.05
0.1
0.15
0.2
0.25
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
12
Figure 10 Time series evolution of monthly average Relative bid/ask Spread
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0.05
0.055
0.06
0.065
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1
0.11
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
0.18
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
13
Figure 11 Time series evolution of quarterly average Relative bid/ask Spread
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0.05
0.055
0.06
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
0.18
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
14
Figure 12 Time series evolution of annual average Relative bid/ask Spread
0.02
0.025
0.03
0.035
0.04
0.045
0.05
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.02
0.04
0.06
0.08
0.1
0.12
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
15
2.4 No trading days
16
Figure 13 Time series evolution of annual No trading days in year
90
100
110
120
130
140
150
160
170
180
190
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
50
100
150
200
250
300
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
50
100
150
200
250
300
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
17
2.5 Amivest
18
Figure 14 Time series evolution of annual Amivest
0
5e+08
1e+09
1.5e+09
2e+09
2.5e+09
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
2e+09
4e+09
6e+09
8e+09
1e+10
1.2e+10
1.4e+10
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
1e+09
2e+09
3e+09
4e+09
5e+09
6e+09
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
19
Figure 15 Time series evolution of monthly Amivest
0
5e+08
1e+09
1.5e+09
2e+09
2.5e+09
3e+09
3.5e+09
4e+09
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
2e+09
4e+09
6e+09
8e+09
1e+10
1.2e+10
1.4e+10
1.6e+10
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
2e+09
4e+09
6e+09
8e+09
1e+10
1.2e+10
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
20
2.6 Amihud Illiq
2.6.1 Amihud Illiq–calculated from daily returns
21
Figure 16 Time series evolution of annual Amihuds ILLIQ
0
0.5
1
1.5
2
2.5
3
3.5
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
1
2
3
4
5
6
7
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
2
4
6
8
10
12
14
16
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
22
Figure 17 Time series evolution of quarterly Amihuds ILLIQ
0
0.5
1
1.5
2
2.5
3
3.5
4
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
1
2
3
4
5
6
7
8
9
10
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
2
4
6
8
10
12
14
16
18
20
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
23
Figure 18 Time series evolution of monthly Amihuds ILLIQ
0
0.5
1
1.5
2
2.5
3
3.5
4
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
2
4
6
8
10
12
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
10
20
30
40
50
60
70
80
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
24
2.6.2 Amihud Illiq–calculated from monthly returns
25
Figure 19 Time series evolution of annual Amihuds ILLIQ
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.5
1
1.5
2
2.5
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
26
Figure 20 Time series evolution of quarterly Amihuds ILLIQ
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.5
1
1.5
2
2.5
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
1
2
3
4
5
6
7
8
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
27
Figure 21 Time series evolution of monthly Amihuds ILLIQ
0
0.2
0.4
0.6
0.8
1
1.2
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.5
1
1.5
2
2.5
3
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
1
2
3
4
5
6
7
8
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
28
2.7 Lesmond Ogden Trzcinka
29
Figure 22 Time series evolution of annual LOT
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.05
0.1
0.15
0.2
0.25
0.3
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
30
Figure 23 Time series evolution of quarterly LOT
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
0.18
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
0.18
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
31
2.8 Roll
32
Figure 24 Time series evolution of annual Roll measure (prices)
0
5
10
15
20
25
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
10
20
30
40
50
60
70
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
5
10
15
20
25
30
35
40
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
33
Figure 25 Time series evolution of annual Roll measure (returns)
0.015
0.02
0.025
0.03
0.035
0.04
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
34
Figure 26 Time series evolution of quarterly Roll measure (returns)
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0.05
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.02
0.04
0.06
0.08
0.1
0.12
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
35
2.9 Liu
36
Figure 27 Time series evolution of annual Liu Liquidity measure LMx
50
60
70
80
90
100
110
120
130
140
150
160
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
50
100
150
200
250
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
50
100
150
200
250
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
37
Figure 28 Time series evolution of biannual Liu Liquidity measure LMx
20
30
40
50
60
70
80
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
20
40
60
80
100
120
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
20
40
60
80
100
120
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
38
Figure 29 Time series evolution of monthly Liu Liquidity measure LMx
2
4
6
8
10
12
14
16
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
2
4
6
8
10
12
14
16
18
20
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
5
10
15
20
25
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
39
2.10 Atkins Dyl
The measure used by Atkins and Dyl (1997)
40
Figure 30 Time series evolution of monthly Atkins Dyl measure
2
4
6
8
10
12
14
16
18
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
2
4
6
8
10
12
14
16
18
20
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
2
4
6
8
10
12
14
16
18
20
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
41
2.11 Amortized spread
42
Figure 31 Time series evolution of Ammortized spread
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.05
0.1
0.15
0.2
0.25
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.2
0.4
0.6
0.8
1
1.2
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
43
Figure 32 Time series evolution of monthly Ammortized spread
0
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0.05
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.02
0.04
0.06
0.08
0.1
0.12
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
44
Figure 33 Time series evolution of annual Ammortized spread
0
0.005
0.01
0.015
0.02
0.025
0.03
0.035
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
0
0.01
0.02
0.03
0.04
0.05
0.06
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
0
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0.05
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
45
2.12 Pastor Stambaugh
46
Figure 34 Time series evolution of quarterly Pastor Stambaugh measure
-10
-8
-6
-4
-2
0
2
4
6
8
10
12
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
-40
-30
-20
-10
0
10
20
30
40
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
-100
-80
-60
-40
-20
0
20
40
60
80
100
120
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
47
Figure 35 Time series evolution of monthly Pastor Stambaugh measure
-10
-8
-6
-4
-2
0
2
4
6
8
10
12
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
Grouped by size quartile
-40
-30
-20
-10
0
10
20
30
40
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
1 2 3 4
Grouped by industry
-100
-80
-60
-40
-20
0
20
40
60
80
100
120
1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012
10 Energy15 Material
20 Industry25 ConsDisc
40 Finan45 IT
Time series plot of evolution of liquidity measures.
48
ReferencesAllen B Atkins and Edward A Dyl. Transactions costs and holding periods for common stocks. Journal of
Finance, 52(1):309–325, March 1997.
Randi Næs, Johannes Skjeltorp, and Bernt Arne Ødegaard. Liquidity at the Oslo Stock Exchange. WorkingPaper Series, Norges Bank, ANO 2008/9, May 2008.
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