• Journal of Distribution Science
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• v.15 no.5
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• pp.29-38
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• 2017

Purpose - Prior theories predict a negative correlation between stock liquidity and dividend payout propensity. We test this hypothesis by examining the sample Korean retail firms. Research design, data, and methodology - We construct four different types of stock liquidity measures and investigate how these stock liquidity variables affect dividend payout propensity by employing the logit regression model. The retail firms listed in the KOSPI and KOSDAQ markets are analyzed from 1990 to 2015. Results - Our estimation results support the liquidity hypothesis if we adopt the stock turnover rate as the stock liquidity measure, particularly for the retail firms listed in the KOSPI markets and for non-conglomerate firms. Yet, our estimation results adopting the illiquidity measure of Amihud (2002), the proportion of non-trading day, and the volume of trading do not support the liquidity hypothesis. Conclusions - Our findings provide mixed results for the validity of stock liquidity hypothesis, which enriches the existing literature. In terms of turnover rate, the stock liquidity hypothesis holds robustly. Yet, we are not able to find any empirical evidence supporting the hypothesis if we use the other three measures of stock liquidity.

• The Korean Journal of Financial Management
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• v.26 no.4
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• pp.103-140
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• 2009

This paper investigates various channels through which liquidity can affect stock returns and examines whether behavioral explanation for liquidity risk is reasonable. First, we examine whether liquidity level (average liquidity) plays a significant role in determining asset returns. The result is consistent with the hypothesis that a stock with higher average illiquidity will have a higher expected return. Second, we focus on the argument that liquidity has a non-diversifiable systematic component. If systemic liquidity has a different impact across individual securities, a stock that is more sensitive to systematic liquidity will have a higher expected return. The results of various tests are inconsistent with each other, not completely supporting the argument. Finally, the intra-market tests in Korea support the behavioral explanation for the liquidity premium, and the effect is stronger in the liquidity level than in the liquidity beta related to systematic liquidity.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.3
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• pp.27-40
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• 2019

The study examines the effects of growth opportunities, debt maturity and liquidity risk on leverage, making use of a large panel of Chinese listed firms. Research on capital structure has broadened its scope from a single capital structure decision (the debt/equity choice) to various attributes of the debt in firms' capital structure. We use the system Generalized Method of Moments estimator to control for unobserved heterogeneity and the potential endogeneity of regressors. We find a negative relationship between growth opportunities and leverage. Further, we find that while the proportion of short-term debt attenuates the negative effect of growth opportunities on leverage, it negatively affects leverage as predicted by the liquidity risk hypothesis. When we distinguish between state owned firms and private controlled firms, we find evidence that these effects are only relevant to private controlled firms. However, our analysis indicates that the economic implication of liquidity risk effect is much lower for Chinese firms than that observed in the literature for US firms. Our study suggests that these differences can be explained by differences in the institutional environment in which firms operate. This finding related to Diamond's (1991) liquidity risk hypothesis extends our understanding of the relationship between liquidity risk and the debt maturity choice.

• East Asian Journal of Business Economics (EAJBE)
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• v.5 no.1
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• pp.33-49
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• 2017

This article can see the analysis of the monetary market of Russia at the present stage, its main segments. An assessment is given to the regulation of mechanism by liquidity, the transactions of the Bank of Russia on the provision of liquidity and on absorption of liquidity, the transaction of fixed action and the transaction in the public market are analyzed. To determine the tendency of development of the monetary market and its segments. In the work using the methods of multivariate statistics, the tools of financial mathematics. To be analyzed the amount of data from the 2015 -2016 year, the 2013 year. (daily data). Hypothesis 1. The dynamics of the money market of Russia at the present stage of development of domestic economy is rather stable. Hypothesis 2.The many transactions of regulation to decrease the liquidity of by monetary movement, the control function. Also in the article consider the contour of the financial transaction. This article reveals the theoretical bases of analysis of profitability of credit operations.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.595-605
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• 2021

The objectives of this research are to see if the phenomena of "demand following" and "supply leading" exist in the business cycle, as well as to look at how liquidity and output react to changes in credit risk, investment-saving gap, inflation, exchange rate, and growth rate of real national output. Employing quarterly data of Maluku and North Maluku (2008-2019), this study utilizes VAR/VECM for inferential analysis. This research found three important findings. First, liquidity and output growth influenced each other in the long run. Second, the determinants of output growth for Maluku are liquidity, investment-saving gap, and inflation, while the determinants of liquidity are output-growth, the gap of investment-saving, and inflation. Third, the determinants of output growth for North Maluku are liquidity, credit risk, investment-saving gap, inflation, exchange rate, and the national output-growth, while the determinants of liquidity are output-growth, credit risk, investment-saving gap, inflation, exchange rate, and national output-growth. The findings of this study supported the hypothesis of demand following and supply leading theory in the Maluku and North Maluku business cycles. This study concludes that economic development would improve if supported by liquidity adequacy through increased deposit growth.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.649-656
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• 2021

This paper aims to examine the moderating role of bank competition on the effect of liquidity creation on bank capital. We measure bank competition using the Lerner index approach, liquidity creation using the Catfat approach, and bank capital using the capital to total asset ratio approach. This test also considers control variables from bank-specific factors such as Return on Assets, Loan to Deposit Ratio, and Non-Performance Loans as well as macroeconomic factors such as Gross Domestic Product, inflation, and Bank Indonesia interest rates. The sampling technique used was purposive sampling. The data sample obtained was 96 banks from a population of 114 banks in Indonesia which consistently operated during the period 2008-2018. Hypothesis testing uses panel data regression analysis techniques through the first model of the Hayes method. The results show that the negative effect of liquidity creation on bank capital depends on competition. We found that bank competition at any level (low, medium, high) negatively moderates (weakens) the effect of liquidity creation on bank capital in all banks. This finding is consistent with the view that banks may strengthen their capital in response to bank competition which may decrease the level of bank liquidity creation.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.423-431
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• 2021

This study aims to examine the effect of liquidity, activity, leverage, and profitability on firm value, as well as the effect of disclosure of corporate social responsibility (CSR), which in this study is a moderator and company size as a control variable. The sampling technique used in this study is a purposive sampling method with certain criteria, to obtain a sample of 22 LQ45 index companies listed on the Indonesia Stock Exchange in 2014-2019. The data analysis method in this study used was the Multiple Linear Regression Analysis with the SPSS 18 Program. The results show that the ratios of liquidity, activity, leverage, and profitability are significant to firm value in accordance with the initial hypothesis of the study. Corporate Social Responsibility (CSR) plays a role as a moderating variable and company size variable as a control variable on the effect of financial ratios (liquidity, activity, leverage, and profitability) on firm value. The implication of this research is that CSR has a very important role in increasing company value. To attract more investors, companies must pay attention not only to financial performance but also to social performance. Large-scale companies tend to do more CSR so that the company value will increase.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.643-651
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• 2021

This study aims to determine the response of regional economic growth to the financial performance of regional economies in regard to the liquidity conditions, saving-investment gaps, trade openness, inflation, as well as the national economic growth. The basic logic theory of research uses the principles of open economics and financial intermediary systems. The data used in this study are secondary data, and the form of data is a quarterly time series for the period from 2008 to 2019. The data were obtained from various publications, such as the Central Statistics Agency (CSA), Regional Financial Economics Statistics (RFES), Indonesian Banking Statistics (IBS), and the Financial Services Authority (FSA). Data processing was done through VAR/VECM analysis; short-term and long-term equilibrium analyses were carried out. The results of the analysis illustrate that regional economic growth and the conditions of liquidity, saving-investment gaps, trade openness, inflation, and national economic growth are related and lead to significant impact variations in the provinces of Papua and West Papua. In conclusion, the findings of this research support the leading supply hypothesis and reformulate the strategy and policy of economic development, bearing in mind that there are still many underdeveloped districts in these two provinces.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.523-530
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• 2020

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.35-42
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• 2020

This study aims to investigate the relationship between the variables of Current Ratio (CR), Return-on-Equity (ROE), Return-on-Assets (ROA), Debt-to-Equity Ratio (DER), and Firm Size (FS) on Dividend Policy (DP) in real estate and property companies listed on the Indonesia Stock Exchange in the period 2016-2019, looking at nine real estate companies in Indonesia. The research methodology uses an explanatory analysis approach and linear regression. Based on the eligibility and homogeneity of the data, the number of sample companies selected was nine companies. The company's financial statement data derived from primary data obtained on the Indonesia Stock Exchange, such as current ratio (CR), return-on-equity (ROE), return-on-assets (ROA), debt-to-equity ratio (DER) and firm size and dividend policy variables. The data analysis procedure is first to transform financial data from the original ratio data into interval data and, then, transform it to ordinal data. Furthermore, the validity and reliability process are ignored because the data is primary. Finally, regression testing is part of the hypothesis testing stage. The results of this study showed that the CR, ROE, and firm size had no positive and significant effect on dividend policy. In contrast, DER and ROA have a positive and significant impact on dividend policy.