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

Similar

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.

Di

= ?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

variable

Peri

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.