臺大管理論叢 NTU Management Review VOL.29 NO.1

The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets 4 coefficient in each country of the monthly cross-section coefficient of illiquidity. We find that stock illiquidity contributes positively and significantly to the prediction of future stock returns after controlling for other stock characteristics. For the Asia-Pacific markets, the average across markets of the regression coefficient of illiquidity is positive and a highly significant 0.1 ( t = 3.16) and it is positive in 88% of these 16 markets. Again, we find that the illiquidity premium in the Asia-Pacific markets is not significantly different than it is in the rest of the world. In summary, this study reaffirms the existence of a significantly positive global illiquidity premium, observed in Amihud et al. (2015). We further show that the illiquidity premium is also positive in the Asia-Pacific region but it is not significantly different than it is in the rest of the world. The paper proceeds as follows. Section 2 describes the data and introduces our main liquidity premium measure. Section 3 shows the existence of the global illiquidity premium, estimated using a portfolio sorting approach and a Fama-MacBeth regression approach. Section 4 concludes the paper. 2. Data and Methodology 2.1 Data Our dataset covers 45 stock markets globally and the sample period is from January 1990 to June 2015. We follow the classification of markets into emerging and developed markets using the per capita gross national income series provided by the World Bank and used by Griffin, Kelly, and Nardari (2010). Markets are grouped into 19 emerging markets (Argentina, Bangladesh, Brazil, Chile, China, Egypt, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Romania, South Africa, Sri Lanka, Thailand, and Turkey) and 26 developed markets (Australia, Austria, Belgium, Canada, Cyprus, Denmark, Finland, France, Germany, Greece, Hong Kong, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, South Korea, Spain, Sweden, Switzerland, Taiwan, UK, and US). The Asia-Pacific group from among the 45 markets includes 16 markets: Australia, Bangladesh, China, Hong Kong, India, Indonesia, Japan, Malaysia, New Zealand, Pakistan, Philippines, Singapore, Sri Lanka, South Korea, Taiwan, and Thailand. In almost all markets, our sample contains all stocks traded on the main stock exchange. There are four exceptions where we select stocks traded on two active stock exchanges in a market. These four markets are China (Shanghai Stock