Trading the Oslo Stock Exchange, I can say that there's plenty of volatility for everyone.
There's everything from the scam Amex-like stocks doing 30% in one day, to (relatively) thick blue chips.
Volume is of course not comparable, but then again the execution system is fair. Spreads are also wide enough to provide a decent profit with the right entry points.
Stockholm is not as crazy as Oslo, but has much better volume and a much larger stock universe.