Testing seasonality in the liquidity-return relation: Japanese evidence

Yuk Ying Chang, Robert Faff and Chuan-Yang Hwang

Applied Economics Letters, 2010, vol. 17, issue 10, 951-954

Abstract: We study liquidity (share turnover) effects of stock returns and their seasonality using Japanese data. We find a significant and negative turnover/return relation. Moreover, we find that the liquidity effect is not impacted by either January or June seasonality. There is weak evidence that stocks with higher liquidity risk have on average higher rates of return for non-June months.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:17:y:2010:i:10:p:951-954

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DOI: 10.1080/17446540802599705

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