Size and liquidity effects in Japanese regional stock markets

Hearn, Bruce (2010) Size and liquidity effects in Japanese regional stock markets. Journal of Japanese and International Economies, 25 (2). pp. 157-181. ISSN 0889-1583

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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

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance > HG3810 Foreign exchange. International finance. International monetary system
H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance
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Depositing User: Bruce Hearn
Date Deposited: 23 Apr 2012 13:22
Last Modified: 07 Mar 2017 09:19
URI: http://sro.sussex.ac.uk/id/eprint/38195

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