Liquidity and stock returns in Japan: New evidence

被引：33

作者：

Chang, Yuk Ying ^{[2
]}

Faff, Robert ^{[1
]}

Hwang, Chuan-Yang ^{[3
]}

机构：

[1] Monash Univ, Dept Accounting & Finance, Fac Business & Econ, Clayton, Vic 3800, Australia

[2] Massey Univ, Dept Econ & Finance, Coll Business, Palmerston North, New Zealand

[3] Nanyang Technol Univ, Div Banking & Finance, Nanyang Business Sch, Singapore, Singapore

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2010年 / 18卷 / 01期

关键词：

Liquidity; Liquidity variability; Stock returns; Tokyo Stock Exchange; Business cycles; CROSS-SECTION; RISK; EXCHANGE; VOLUME;

D O I：

10.1016/j.pacfin.2009.09.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The liquidity/stock returns linkage was studied using data from the First Section, the Second Section, and the Mothers Section of the Tokyo Stock Exchange (TSE). In our overall tests, we found a significantly negative (positive) relationship between liquidity (illiquidity) proxies and returns. Upon exploring this further for the impact of business cycles, we found that while the expansionary phases largely confirm contractionary phases do not. When we controlled the overall finding, for liquidity variability in the cross-sectional regressions, the role of the liquidity level showed strong significance across business cycles, different subperiods and all Sections of the TSE. With regard to liquidity variability, we observed a strongly significant and negative association with stock returns. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：90 / 115

页数：26

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