Size and liquidity effects in Japanese regional stock markets

作者：Hearn Bruce^*

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

DOI：10.1016/j.jjie.2011.02.004

• Liquidity
• Portfolio diversification
• Regional financial markets
• Japan

Hearn, Bruce-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. J. Japanese Int. Economies xxx (xx) (2011) xxx-xxx. School of Management, University of Leicester, Leicester, UK.

• 出版日期2011-6