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Size and liquidity effects in Japanese regional stock markets

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  • Hearn, Bruce

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.

Suggested Citation

  • Hearn, Bruce, 2011. "Size and liquidity effects in Japanese regional stock markets," Journal of the Japanese and International Economies, Elsevier, vol. 25(2), pages 157-181, June.
  • Handle: RePEc:eee:jjieco:v:25:y:2011:i:2:p:157-181
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    References listed on IDEAS

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    Cited by:

    1. Apergis, Nicholas & Payne, James E., 2014. "Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets," Review of Financial Economics, Elsevier, vol. 23(1), pages 46-53.
    2. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
    3. Joseph J. French & Rodrigo Taborda, 2017. "Disentangling the relationship between liquidity and returns in Latin America," DOCUMENTOS CEDE 015606, UNIVERSIDAD DE LOS ANDES-CEDE.

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