Size and liquidity effects in Japanese regional stock markets
Size and liquidity effects in Japanese regional stock markets
This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan's regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of Sapporo, Fukuoka and Nagoya where costs of equity are highest.
Japan, Liquidity, Portfolio diversification, Regional financial markets
157-181
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
June 2011
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Hearn, Bruce
(2011)
Size and liquidity effects in Japanese regional stock markets.
Journal of the Japanese and International Economies, 25 (2), .
(doi:10.1016/j.jjie.2011.02.004).
Abstract
This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan's regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of Sapporo, Fukuoka and Nagoya where costs of equity are highest.
This record has no associated files available for download.
More information
e-pub ahead of print date: 3 March 2011
Published date: June 2011
Keywords:
Japan, Liquidity, Portfolio diversification, Regional financial markets
Identifiers
Local EPrints ID: 423321
URI: http://eprints.soton.ac.uk/id/eprint/423321
ISSN: 0889-1583
PURE UUID: 172d1311-e79b-46a9-86ec-338c2eb1c6bf
Catalogue record
Date deposited: 20 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
Export record
Altmetrics
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
