This study investigates the stock market illiquidity using Japanese stock market data for the period 2000 to 2019, which using a fixed-effect regression of Amihud and Turnover ratios as dependent variable on firm-specific variables. It also analysis of the market downturn on the stocks illiquidity and trading activity of Japanese firms. This study finds the market downturn has a significant impact on stock illiquidity and trading activity. It provides an evidence that the importance of stock market illiquidity and trading volume when the market goes down in particular in a crisis period.

ACKNOWLEDGEMENTS i
ABSTRACT ii
TABLE OF CONTENTS iii
LIST OF TABLES iv
Chapter I Introduction 1
1.1 Research Background 1
1.2 Objectives 2
1.3 Research Structure 2
Chapter II Literature Review 3
2.1 Liquidity Theory 3
2.2 Stock Market Illiquidity 4
2.3 The Japanese Liquidity 5
2.4 Hypothesis 6
Chapter III Data & Methodology 8
3.1 Methodology 8
3.2 Variable Definition 8
3.3 Estimation Procedure 11
Chapter IV Empirical Results 12
4.1 Descriptive Statistics 12
4.2 Fixed-effect Regression Analysis 16
Chapter V Conclusion 21
References 22

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