This opportunity in the model. This paper also

This paper uses the panel data of listed
companies in Thailand from Stock Exchange of Thailand and in Japan from the
Tokyo Stock Exchange as the sample. Instead of focusing on an individual
industry group, the paper focus on every industry group in order to get the
results which thoroughly represent companies in all industries. However, the
listed companies in financials industry group are excluded from the sample. The
study period covers from 2009 –
2016 to avoid the financial crisis period and to extend the later period from
Thanadvanich (2008). The data of each variable is collected and calculated from
Orbits and Thomson Reuters Datastream.


3.2 Methodology

to paper of Banerjee et al. (2007), Thanadvanich (2008) and Jiang et al. (2017),
this paper includes Fama and French (2001)’s dividend determinants which are
consisted of firm size, profitability and growth opportunity in the model. This
paper also includes liquidity variable as fourth independent variables. The
panel data regression is conducted by the following model to test whether the
liquidity has an effect on the firm’s dividend payout.

= ?0 + ?1(Per)i + ?2(V/A)i + ?3(E/A)i+ ?4X4i


3.2.1 Dependent variable

Di is the cash dividend paid by the
company i.


3.2.2 Independent

is used to represent firm size. It is the percentage of firms in the stock
market with lower market capitalization of common stock of firm i at the end of
the year. (V/A)i is used to represent the
profitability of the companies. It is calculated from the sum of total
liabilities and market capitalization of firm i, divided by total assets. (E/A)i is used to
represent growth opportunity of the companies. It is calculated from earning
before interest and tax or EBIT and divided by total assets of firm i. The
fourth independent variable, X4i, is the liquidity proxy. This paper has four liquidity proxies which
will be regressed separately in the model.

The first
liquidity proxy is TURNi or turnover ratio of firm i. It is
calculated from common share traded divided by common shares outstanding. The
second proxy is ILLIQi or Amihud (2002)’s illiquidity ratio. It is
calculated from ILLIQi = 1/Ti,t x

Reti,t| / Volumei,t,d,
where Ti,t is the number of trading days in year t of
firm i, Reti,t is the daily stock returns in percentage unit and
Volumei,t,d is the trading volume in million baht unit on day d of
firm i. The
third proxy is NOTRDi. It is the number of no trading which is the
proportion of days with no trading volume of firm i. And the last proxy is VOLi.
It is the daily average Thai Baht and Japanese Yen volume of firm i.