An Analysis On Share Market Microstructure In The Process Of The Split Share Structure Reform

"Split share structure"means that there are two types of share,liquid share and illiquid share,in A share market. This kind of share structure comes into being in special historical background. In initial stage of A share market,split share structure made positive function. But along with A share market grown up,split share structure brings more and more troubles. For A share market healthy development, the split share structure reform begins to actualize in Aapril 29, 2005.There are a lot of questions, such as how the split share structure reform lead liquidity changing in A share market?, whether"liquid premium effect"exists after the reform in A share market?,how the level of consideration determinate?,worthy to study. This paper attempt to offer theoretical and empirical supports about the split share structure reform for administrator.Firstly,this thesis probes how the split share structure reform influence the liquidity of A share market from four aspects of individual share liquidity, commonality in liquidity, liquidity risk and liquid premium. The research result indicates that the split share structure reform increase the liquidity of A share market in evidence. Along with individual share liquidity increasing , the liquidity risk decrease magnitunate. The phenomenon of commonality in liquidity lessens. The theory of liquid premium and minor enterprise effector are not able to explain the status in quo of A share market after the split share structure reform.Secondly,this paper develops theoretical hypotheses to discuss how the level of consideration determine and designs empirical study to find what factors can affect the level of consideration remarkable. The research result indicates that illiquid share ratio is positive correlative with consideration ratio and company performance is negative correlative with consideration ratio. In addition,the share holded by institutional investor,abnomal turnover and liquid share concentration ratio are negative correlative with consideration ratio,and current PB or IPO PB is positive correlative with consideration ratio.Thirdly,this thesis reseachs the impact and influence to A share market from the split share structure reform from the point of view of financial market microstructure. The market responds first actively then passively to split shareholder structure reform of listed companies, and it is common to leak the information about the reform. The liqiud indicators move great as the reform conducting. In the prosess of the reform,liquid indicators is unilateralism Granger causality of volatilityσ2. The impact to volatility from velocity,bid-ask spread indicators and volatility-self is hard. Finally,this paper measures the level of information asymmetry within the process of the split share structure reform by Financial high frequency data, and makes empirical analysis to answer the question what are the key factors influencing the level of information asymmetry. The conclusion indicates that the independent variables of share ownership strcture,turnover and consideration are significant to the level of information asymmetry. In addition,PE, PB and other variables of company performance are not able to explain the change of information asymmetry.The innovations of this paper is as follow:(1)This paper find that the split share structure reform incease the liquidity of A share market distinctly form four aspects,individual share liquidity,commonality in liquidity, liquidity risk and liquid premium.(2)This paper disclosure the mechanism of consideration determination,by developing theoretical hypotheses and designing empirical study.(3)This thesis makes econometrics reseachs about the impact and influence to A share market from the split share structure reform from the point of view of financial market microstructure,and make it clear that it is common to leak the information about the reform.(4)This paper measures the level of information asymmetry within the process of the split share structure reform, and finds that the independent variables of share ownership strcture and turnover are significant to the level of information asymmetry.