Japan equity quant memo

Research evidence excerpt

Japan equity quant memo

Global Markets Research

6 July 2026Japan equity quant memo

EQUITY: EQUITY QUANTITATIVE RESEARCH

Liquidity is also concentrated in a small number Research Analysts

of names Japan quantitative research Makoto Furukawa - NSC

During the TMT bubble, indices and stock price momentum reached new makoto.furukawa@nomura.com

highs two months after the peak in liquidity distortion +81 3 6703 1174

Shin Nishioka - NSC

A distinctive feature of the June market was that the market turnover share of the shin.nishioka@nomura.com

second most liquid group of stocks fell to an all-time low +81 3 6703 3948

When we rank TOPIX 500 constituents by market turnover and divide them into 20 equal Shunta Tachinaka, CFA - NSC

groups (ventiles), the combined turnover share of the 20th ventile (top 5% of names) has shunta.tachinaka@nomura.com

shown an upward tendency since 2020, rising alongside the increase in total market +81 3 6703 1212

turnover (Figure1). The share rose particularly sharply after the start of June, reaching

72.8% on 24 June, the third highest level since 1996. This means that the top 5% of

names by turnover accounted for nearly three-quarters of total TOPIX 500 turnover,

indicating that trading had become highly concentrated in a small number of names.

Another distinctive feature of the recent market was the sharp decline in the market

turnover share of the 19th ventile (the second highest 5% of stocks, below the 20th

ventile). Figure2 shows the trend in the combined market turnover share of this group of

stocks. According to this data, the share had remained roughly flat since 2020, but turned

downward in June, reaching the lowest level since 1996 on 23 June. In other words, since