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Size and liquidity effects in Japanese regional stock markets

journal contribution
posted on 2023-06-08, 11:02 authored 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

Publication status

  • Published

File Version

  • Published version

Journal

Journal of Japanese and International Economies

ISSN

0889-1583

Publisher

Elsevier

Issue

2

Volume

25

Page range

157-181

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-23

First Compliant Deposit (FCD) Date

2012-02-24

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