Japan Comprehensive JJIE BH.pdf (1.25 MB)
Download file

Size and liquidity effects in Japanese regional stock markets

Download (1.25 MB)
journal contribution
posted on 13.06.2011, 13:30 by Bruce Hearn
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.

History

Citation

Journal of the Japanese and International Economies, 2011, 25 (2), pp. 157-181.

Published in

Journal of the Japanese and International Economies

Publisher

Elsevier

issn

0889-1583

Copyright date

2011

Available date

13/06/2011

Publisher version

http://www.sciencedirect.com/science/article/pii/S0889158311000177

Language

en

Usage metrics

Categories

Keywords

Exports