Size and liquidity effects in Japanese regional stock markets

Bruce Hearn

Journal of the Japanese and International Economies, 2011, vol. 25, issue 2, 157-181

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.

Keywords: Liquidity; Portfolio; diversification; Regional; financial; markets; Japan (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:25:y:2011:i:2:p:157-181

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