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

7 NTU Management Review Vol. 29 No. 1 Apr. 2019 Table 1 Descriptive Statistics The table presents the sample statistics. ‘Starting year’ is the year from which the data is available for each market. ‘Number of months’ is the number of months with valid observations during the sample period for each market. ‘Average number of firms’ and ‘Total number of firms’ are the average and total number of unique firms that satisfy the filter requirements. The market return is the value-weighted average of monthly stock return in US dollar. Market illiquidity is measured by the value-weighted average of the stocks’ Amihud measure, which is the average ratio of daily absolute return to the daily trading volume over a 3-month period, rolling every month over the sample period. Both the daily return and the daily value of the trading volume are in US dollar. We report for the monthly time series of each country the mean, median, and standard deviation of market average return and illiquidity. The sample period is from January 1990 to June 2015. The markets are divided into 19 emerging markets and 26 developed markets, following the classification method of the World Bank and Griffin et al. (2010). The cross- market averages of each column are reported at the bottom for emerging, developed, global and Asia-Pacific markets. Market return (%) Market illiquidity Market Start Number of months Average number of firms Total number of firms Mean Median Std. Dev. Mean Median Std. Dev. Argentina 1993 216 59 124 1.020 1.095 9.346 0.173 0.136 0.156 Bangladesh 1995 239 149 319 1.380 0.028 11.317 0.671 0.469 0.637 Brazil 1994 239 127 425 1.704 1.714 11.050 0.227 0.146 0.205 Chile 1990 302 113 284 1.004 0.856 8.471 0.141 0.119 0.108 China 1993 265 1,133 2,510 1.236 0.709 12.156 0.003 0.001 0.005 Egypt 1997 209 77 145 0.662 0.223 8.283 0.187 0.111 0.169 India 1995 237 893 3,302 0.471 0.877 10.300 3.028 2.458 1.923 Indonesia 1990 295 199 566 0.830 0.970 11.335 0.502 0.280 0.592 Malaysia 1990 302 604 1,050 0.859 1.153 8.954 0.123 0.080 0.126 Mexico 1990 289 79 303 0.902 1.569 8.478 0.126 0.079 0.162 Pakistan 1992 267 154 367 1.164 1.140 9.195 0.712 0.491 0.691 Peru 1994 157 63 206 0.941 0.573 7.982 0.229 0.165 0.253 Philippines 1991 290 132 304 1.017 0.961 8.519 0.476 0.393 0.385