Liquidity and stock returns in Japan: New evidence

Chang, Yuk Ying; Faff, Robert W.; Hwang, Chuan Yang

doi:10.1016/j.pacfin.2009.09.001

Cited by 66 publications

(41 citation statements)

References 32 publications

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“…Similarly, Amihud (2002) document evidence supporting the hypothesis that expected market liquidity provides an indication of stock excess return in the time series, implying that the excess return to some extent typifies an illiquidity premium. Chang et al (2010) also find a consistent narration on the Tokyo Stock Exchange. Chordia et al (2008) make an insightful argument for the relatedness of market efficiency to market liquidity.…”

Section: Introductionsupporting

confidence: 59%

Liquidity and market efficiency in the world's largest carbon market

Ibikunle

Gregoriou

Hoepner

et al. 2016

The British Accounting Review

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We examine the world's largest carbon exchange, ICE's ECX, by applying Chordia et al. 's (2008) conception of short-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and market efficiency such that when spreads narrow, return predictability diminishes. This is more pronounced for the highest trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading Scheme (EU-ETS) prices have continuously moved nearer to unity with, efficient, random walk benchmarks, and this improves from year to year. Overall, our findings suggest trading quality in the EU-ETS has improved markedly and matures over the 2008-2011 compliance years.JEL Classifications: G12, G13, G14, G15, G18

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Section: Introductionsupporting

confidence: 59%

Liquidity and market efficiency in the world's largest carbon market

Ibikunle

Gregoriou

Hoepner

et al. 2016

The British Accounting Review

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“…However, according to the findings dividend per share positively affects stock return in Malaysia, which is consistent with the bird-in-hand theory. According to the results, quick ratio has a significant and positive impact on stock return which is consistent with the findings of Ulupui (2007), Chang et al (2010), Saleem &Rehman (2011) andAga et al(2013). Relationships between microeconomic variables and stock return have been investigated in a considerable number of studies but they have presented various results.…”

Section: Discussion Of Resultssupporting

confidence: 90%

“…Previous research found contradicting results on the influence of QR on stock return. Ulupui (2007), (Chang, Faff, & Hwang, 2010), Saleem andRehman (2011) and(Shadkam Aga, Mogaddam, &Samadiyan, 2013) found a positive impact of QR on stock return while Stefano (2015), Hernendiastoro (2005), and Komala and Nugroho (2013) found no impact of current ratio on stock return. Therefore, this study examines the impact of QR on stock return in order to add to the body of literatures and help resolving the contradictory findings.…”

Section: Microeconomic Variablesmentioning

confidence: 99%

The Impact of Microeconomic Variables on Stock Return by Moderating of Money Supply

Sayedy¹,

Ghazali²

2017

ASS

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The purpose of this study is to empirically investigate the effect of microeconomic variables on stock return with moderating role of money supply (MS). The selected microeconomic variables in this study are debt-to-equity ratio (DE), dividend per share (DPS), and quick ratio (QR). Firm size and book-to-market value are considered as controlling variables. The period of the study is from 2003 to 2012 and the sample population of this study is 300 companies listed on Kuala Lumpur Stock Exchange (KLSE). Secondary data were collected from DataStream International, financial annual reports, and the World Bank databank. Generalized least squares (GLS) technique was used to estimate the predictive regressions in form of multiple models of panel data sets. According to the findings, MS moderates the impact of DE and QR on stock return, but does not moderate the effect of DPS on stock return. Besides, MS moderates the impact of all selected predictors on stock return. The findings of this study further show that an increase in value of a firm's debt relative to its equity would cause a decrease in the firm's stock return. The results also indicate that firms with higher QR and DPS are likely to have a higher stock return. Overall, the findings of this research are consistent with Modigliani and Miller's capital structure theory, as well as Pecking Order and Bird In Hand theory. The findings of this study would be of interest to domestic and international investors, stockbrokers, board of directors, financial managers, and policy makers.

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“…Pastor and Stambaugh (2001) find evidence that market-wide liquidity is a key state variable for asset pricing on NYSE, AMEX and NASDAQ. Chang et al (2009) analyzed the effect of liquidity on stock returns on Tokyo Stock Exchange (TSE) and found that the liquidity level has strong significant impact on stock return in different phases of business cycle. In case of Shanghai Stock Exchange (SHSE) and the Shenzhen stock exchange (SZSE), Narayan and Zheng (2011) found negative impact of liquidity on returns.…”

Section: Risk and Return And Liquiditymentioning

confidence: 99%

“…Lipson and Mortal (2009) examined the relation between equity market liquidity and capital structure and reported that firms with more liquid equity prefer equity financing.FII as a factor in determining trading activity and liquidity of stock markets is discussed in literature (Liu et al, 2009;Wang, 2007;Wei, 2010). A wide array of literature has studied the linkage between liquidity and stock returns in many countries (Faff et al, 2010;Narayan & Zheng, 2011). Investors are exposed to liquidity risk when the stock changes ownership making it a priced factor in making investment decisions (Jacoby et al, 2000;Acharya & Pederson, 2005;Nguyun et al, 2007).…”

Section: Introductionmentioning

confidence: 99%

Analysis of Liquidity-Study on Indian Mid-Cap Stocks

Kumar¹,

Misra²

2015

IJEF

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Liquidity is the pre-condition for a well-functioning and efficient market. Liquidity can be perceived, but difficult to measure due to its multi-dimensional characteristics. Studies have discussed various characteristics of liquidity and its influencing power on return and asset pricing. The article has considered Indian MidCap stocks and measured its liquidity using Amihud and trading volume as proxies. It has found Indian MidCap stocks have varying degree of liquidity. During the intraday, MidCap stocks have L-shaped liquidity pattern. The article observed that P-E ratio, P-B ratio, Dividend Yield and Index of Industrial Production are the significant determinants of liquidity. The article has estimated liquidity betas and carried out Granger non-causality test to articulate its relation with CAPM beta. The article has also found stability of liquidity beta across MidCap stocks. The liquidity betas of MidCap stocks have time-varying volatility. Relative Strength Index (RSI) and Change in Trading Volume are exogenous variables in explaining the time-varying volatility of beta. The study observed that MidCap stocks are claiming liquidity premium and liquidity premium is influencing the asset pricing along with WML, HML and EMR factors.

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Liquidity and stock returns in Japan: New evidence

Cited by 66 publications

References 32 publications

Liquidity and market efficiency in the world's largest carbon market

Liquidity and market efficiency in the world's largest carbon market

The Impact of Microeconomic Variables on Stock Return by Moderating of Money Supply

Analysis of Liquidity-Study on Indian Mid-Cap Stocks

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