Testing seasonality in the liquidity-return relation : Japanese evidence

Yuk Ying Chang, Robert Faff, Chuan-Yang Hwang

    Research output: Contribution to journalArticlepeer-review

    6 Citations (Scopus)

    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.
    Original languageEnglish
    Pages (from-to)951-954
    Number of pages4
    JournalApplied Economics Letters
    Volume17
    Issue number10
    DOIs
    Publication statusPublished - 2010

    Keywords

    • Japan
    • interest rate
    • macroeconomics

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