Liquidity data at OSE
This page contain some calculated data useful for academic asset pricing
investigations at the Oslo Stock Exchange.
Liquidity time series
Measures of liquidity, quarterly and monthly
Source of data
The source of the raw data is daily observations of stock market data from the
Oslo Stock Exchange Data Service. From this data I calculate a number of
different derived time series. I am grateful to Oslo Stock Exchange for allowing
me to publish these data.
The data is described in the
paper Empirics of the Oslo Stock Exchange: Liquidity Results by
Bernt Arne Ødegaard.
The current portfolios are updated with data until end of 2019 (2015 for the microstructure data).