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).