Europium doped yttrium oxide submicron-sized particles were prepared by ultrasonic aerosol pyrolysis. To examine the size effect of submicron-sized-particle, the photoluminescence of the particles was investigated. The particle size was controlled by pH, reaction temperature, molar concentration of yttrium in precursor solution. The PL intensity of submicron-sized particles was decreased with particles size. When the particle size is above about 150 times of Bohr radius of Y$_2$O$_3$, the optical property of the particles shows the bulk characteristics.