Testing seasonality in the liquidity-return relation: Japanese evidence

Chang, Yuk Ying, Faff, Robert and Hwang, Chuan-Yang (2010) Testing seasonality in the liquidity-return relation: Japanese evidence. Applied Economics Letters, 17 10: 951-954. doi:10.1080/17446540802599705

Author Chang, Yuk Ying
Faff, Robert
Hwang, Chuan-Yang
Title Testing seasonality in the liquidity-return relation: Japanese evidence
Journal name Applied Economics Letters   Check publisher's open access policy
ISSN 1350-4851
Publication date 2010-07
Year available 2009
Sub-type Article (original research)
DOI 10.1080/17446540802599705
Volume 17
Issue 10
Start page 951
End page 954
Total pages 4
Place of publication Abingdon, Oxon, United Kingdom
Publisher Routledge
Collection year 2011
Language eng
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. © 2010 Taylor & Francis.
Keyword Interest rate
Testing method
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status Non-UQ
Additional Notes First Published on: 28 April 2009

Document type: Journal Article
Sub-type: Article (original research)
Collections: Non HERDC
UQ Business School Publications
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Created: Thu, 03 Mar 2011, 10:16:23 EST by Karen Morgan on behalf of UQ Business School