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Testing seasonality in the liquidity-return relation: Japanese evidence

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  • Yuk Ying Chang
  • Robert Faff
  • Chuan-Yang Hwang

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.

Suggested Citation

  • Yuk Ying Chang & Robert Faff & Chuan-Yang Hwang, 2010. "Testing seasonality in the liquidity-return relation: Japanese evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 951-954.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:10:p:951-954
    DOI: 10.1080/17446540802599705
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    Cited by:

    1. Weigerding, Michael, 2020. "Seasonal liquidity effects and their determinants on the covered bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 288-303.
    2. Michael Weigerding & Michael Hanke, 2018. "Drivers of seasonal return patterns in German stocks," Business Research, Springer;German Academic Association for Business Research, vol. 11(1), pages 173-196, February.

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