Johannes Atle Skjeltorp

Central Bank of Norway

P.O. Box 1179

Oslo, N-0107

Norway

http://www.norges-bank.no/research/skjeltorp/

  • Central Bank of Norway

SCHOLARLY PAPERS

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Scholarly Papers (11)

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1.

Stock Market Liquidity and the Business Cycle

Journal of Finance, Forthcoming
Number of pages: 35 Posted: 11 Jul 2008 Last Revised: 25 May 2010
Randi Naes, Johannes Atle Skjeltorp and Bernt Arne Ødegaard
Norwegian Ministry of Trade and Industry, Central Bank of Norway and University of Stavanger
Downloads 750 (57,029)
Citation 40

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Market Microstructure, Liquidity, Business Cycles

2.

Order Book Characteristics and the Volume-Volatility Relation: Empirical Evidence from a Limit Order Market

Number of pages: 55 Posted: 19 Jul 2004
Randi Naes and Johannes Atle Skjeltorp
Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 562 (82,512)
Citation 12

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Market microstructure, equity trading, asymmetric information

3.

Flashes of Trading Intent at the NASDAQ

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Norges Bank Working Paper 17, AFA 2012 Chicago Meetings Paper
Number of pages: 57 Posted: 22 Mar 2011 Last Revised: 19 Jul 2016
Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham
Central Bank of Norway, UNSW Business School and University of New South Wales (UNSW)
Downloads 558 (83,267)
Citation 11

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Actionable Indication of Interest (IOI); Flash orders; High-frequency Trading; Market quality; Market transparency; Sunshine trading.

4.

The Risk Components of Liquidity

EFA 2008 Athens Meetings Paper
Number of pages: 24 Posted: 17 Mar 2008
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 408 (121,228)
Citation 3

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Liquidity Risk, Liquidity Factors, Asset Pricing, Market Microstructure

5.

What Captures Liquidity Risk? Order Based Versus Trade Based Liquidity Measures

Number of pages: 47 Posted: 02 Mar 2007
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 370 (135,464)

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Market microstructure, Common factor, Asset pricing, Liquidity factor, High frequency liquidity

6.

Liquidity at the Oslo Stock Exchange

Number of pages: 45 Posted: 11 Jul 2008
Randi Naes, Johannes Atle Skjeltorp and Bernt Arne Ødegaard
Norwegian Ministry of Trade and Industry, Central Bank of Norway and University of Stavanger
Downloads 354 (142,245)
Citation 9

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G12, G14

7.

Throttling Hyperactive Robots - Order to Trade Ratios at the Oslo Stock Exchange

Number of pages: 26 Posted: 22 Feb 2014 Last Revised: 19 May 2017
Kjell Jorgensen, Johannes Atle Skjeltorp and Bernt Arne Ødegaard
BI Norwegian Business School - Department of Financial Economics, Central Bank of Norway and University of Stavanger
Downloads 247 (206,525)
Citation 8

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High Frequency Trading, Regulation, Order to Trade Ratio

8.

When Do Listed Firms Pay for Market Making in Their Own Stock?

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 14 Oct 2011 Last Revised: 05 Mar 2014
Johannes Atle Skjeltorp and Bernt Arne Ødegaard
Central Bank of Norway and University of Stavanger
Downloads 207 (244,335)
Citation 4

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Stock market liquidity, corporate finance, designated market makers, affirmative obligations, equity issuance, share repurchase

9.

Pricing Implications of Shared Variance in Liquidity Measures

NHH Dept. of Finance & Management Science Discussion Paper No. 2006/9
Number of pages: 35 Posted: 07 Mar 2007
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 203 (248,755)

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Market microstructure, Common factor, Asset pricing, Liquidity factor, high frequency liquidity

10.

The Liquidity of the Secondary Market for Debt Securities in Norway

Number of pages: 31 Posted: 04 Jun 2013
Ketil Johan Rakkestad, Johannes Atle Skjeltorp and Bernt Arne Ødegaard
Norges Bank, Central Bank of Norway and University of Stavanger
Downloads 144 (334,181)
Citation 1

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Bond Markets, Liquidity, Norway

11.

Cross-Sided Liquidity Externalities

Management Science (Forthcoming)
Posted: 21 Mar 2012 Last Revised: 07 Feb 2018
Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham
Central Bank of Norway, UNSW Business School and University of New South Wales (UNSW)

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Liquidity cycle, Liquidity externality, Two-sided markets, Make/take fees