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

5 NTU Management Review Vol. 29 No. 1 Apr. 2019 Exchange and Shenzhen Stock Exchange), Japan (Osaka Securities Exchange and Tokyo Stock Exchange), South Korea (Korea Stock Exchange and KOSDAQ) and US (NYSE and AMEX). For UK, we include only stocks traded in the order-driven market, which is the main trading platform where Datastream reports daily closing price using the last transaction price. We retrieve daily stock price, trading volume, and shares outstanding data from the Center for Research in Security Prices (CRSP) for the US and from Thomson Reuters Datastream for the other 44 markets. We focus on ordinary stocks and exclude non- common stocks such as duplicates, American Depositary Receipts (ADRs), preferred stocks, warrants, bonds, exchange-traded funds (ETFs), Real Estate Investment Trusts (REITs), etc. We identify ordinary stocks in the US market using the CRSP share code 10 or 11. For the rest of the markets, we follow Griffin et al. (2010) and Amihud et al. (2015) to delete the non-ordinary stocks in Datastream. Our sample incudes both live and dead stocks in the sample period. To deal with potential errors in the data from Datastream, we follow the methodology in Ince and Porter (2006) and Lee (2011). First, daily returns are set to be missing if they are above 200% or if they are greater than 100% but are substantially reversed in the follow day. 3 Second, daily returns are also set to be missing if the Return Index (RI), which is created by Datastream to control for stock splits and dividends, is below 0.01. Third, monthly returns are set to be missing if they are above 500% or if they are greater than 300% but are dramatically reversed in the following month. Fourth, daily volume is set to be missing if they are below 100 US dollars or if the daily share trading volume is larger than shares outstanding. Finally, we exclude days on which more than 90% of stocks in that market have zero returns. Daily local currency returns are converted to US dollar returns using daily exchange rates from Datastream. 2.2 The Illiquidity Measure We measure stock illiquidity using the price impact measure based on the ratio of absolute stock returns per dollar of trading volume proposed in Amihud (2002). Specifically, the illiquidity of stock i in month t , ILLIQ i,t , is defined as 3 To define a substantial reverse in daily return, we require (1+r i,d )*(1+r i,d-1 )-1 ≤ 50%, where r i,d is the return of stock i on day d and at least either r i,d or r i,d-1 is greater than 100%.