Empirical Study Between Liquidity And Return Of China Stock Market

Liquidity is to describe the important characteristics of the stock market, is widely used to measure the market microstructure of the good or bad and the merits of market performance. Transfer mechanism in its stock market through its role to play, so liquidity is the basis of the stock market there is also the premise of stock gains. The actual market, we can often see the day a certain level of stock turnover is often the stock excess returns after the signal.This paper is quantile regression through the stock market mobility and the relationship between returns to model a large number of scholars with previous studies from different angles, the paper focused on the research questions of measurement methods, making research more liquidity premium theory comprehensive. Idea is to first use of quantile regression methods in China A share market rate of return Index and its representatives liquidity indicators for analysis of non-liquid, and then use quantile regression methods under the situation at different on Shanghai the relationship between the liquidity index and an analysis to find out the similarities and differences, so that mobility and the relationship between yield more complete study.By empirical analysis, the paper come to the main conclusions as follows:1.OLS-based method, obtained the state of liquidity in the stock market change in the rate of return of negative effect, indicating the growth of the stock liquidity associated with the decline in yields, respectively, under the situation in the Bull and Bear of the market, but also confirmed the liquidity impact of change on the negative effects of rate of return; it clearly and the actual market performance is different, explain our estimated error, the financial data, heteroscedasticity and heavy tail spikes are likely to lead us to estimate not accurate, which reflects the deficiencies of OLS estimation.2.Based on Quantile Regression, obtained in different sub-sites, our estimate is the liquidity impact of change on the rate of return of negative effects from changes to the positive effects; of the median before the sub-site, the mobility negative impact on earnings, while the median sub-site of the future, the growth of liquidity will be accompanied by a larger return rate; we were under the situation in the Bull and Bear market research, the next bull market trend is the estimated value of from negative to positive, while in a bear market under the market situation is unstable estimates,. This is consistent with actual market performance, and that we use quantile regression theory more in line with our markets, more accurately describe the mobility of the specific impact on yield. The practical significance is that when the yield is very low percentile is low, the Conference of liquidity led to a lower rate of return; the contrary when the high rate of return that is higher quantiles, the mobility of the General Assembly led to higher yields, which and the mentality of investors in real life is consistent.The main innovations of this paper are as follows:Quantile regression is applied to the rate of return and liquidity of the relationship, the more fit the market's performance, more accurate general description. To apply quantile regression to study different market situation, were studied in bull and bear markets of liquidity in the end of the earnings rate may be, their close relationship between the degree.