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:	University of Sussex Business School > 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
Related URLs:	Publisher
Depositing User:	Bruce Hearn
Date Deposited:	23 Apr 2012 13:22
Last Modified:	03 Jul 2019 00:22
URI:	http://sro.sussex.ac.uk/id/eprint/38195

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