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

The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets 8 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. Poland 1998 204 226 988 0.409 -0.129 8.243 1.932 0.374 3.242 Romania 1997 103 61 147 -0.049 -0.868 11.262 2.324 0.786 2.697 South Africa 1990 302 292 885 0.908 0.744 7.286 0.110 0.084 0.081 Sri Lanka 1990 296 141 324 1.273 0.958 8.075 2.063 1.863 1.063 Thailand 1990 302 401 1,245 0.779 0.811 10.015 0.232 0.122 0.337 Turkey 1990 302 251 497 1.407 1.725 16.203 0.056 0.014 0.161 Australia 1990 302 981 2,925 0.905 1.345 6.410 0.090 0.080 0.052 Austria 1990 294 78 211 0.453 0.732 6.378 0.179 0.072 0.244 Belgium 1995 244 133 317 0.502 0.913 6.560 0.066 0.023 0.115 Canada 1990 302 900 2,633 0.849 0.953 5.426 0.078 0.055 0.076 Cyprus 1999 135 90 159 -1.078 -0.753 12.041 0.803 0.775 0.636 Denmark 1990 299 158 384 0.855 1.060 5.532 0.053 0.038 0.055 Finland 1997 221 121 215 1.078 1.212 7.039 0.060 0.030 0.080 France 1991 284 407 1,390 0.857 1.132 5.769 0.043 0.018 0.048 Germany 1993 199 650 1,459 0.609 0.844 5.916 0.076 0.066 0.045 Greece 1990 301 196 382 -0.777 -0.246 10.558 0.337 0.104 0.874 Hong Kong 1990 302 702 1,607 1.113 1.434 8.024 0.050 0.034 0.045 Israel 1993 266 383 788 0.500 0.718 8.120 0.617 0.236 0.908 Italy 1993 260 257 602 0.341 0.636 6.812 0.005 0.004 0.004 Japan 1990 302 2,208 3,482 0.200 0.087 5.875 0.010 0.007 0.012 Netherlands 1990 302 141 309 0.841 1.388 5.501 0.028 0.014 0.036 New Zealand 1992 273 99 279 1.127 1.345 6.128 0.120 0.105 0.067