An Empirical Study Of Factors On China's Stock Market Liquidity

In this paper, We made reference to research methods and ideas of predecessors, and due to the different trading mechanism, We propose definitions and measurement methods of fluidity. In the study of liquidity factors, we took trading product as one of the market participants. In order to make resource distribution available, establish a market with favorable liquidity is the primary. After more than 10years development, China's stock market experienced a dramatic growth, however, there are still a great deal of downsides and defects in the emergence markets. With the institutional investors increasing, the market liquidity is becoming more urgent. We investigate 124 sample companies with de data from 2006 to 2008.Applying Simple Factor Correlation Full-factor Regression and Step-wise Regression, we finally derive the model. The main conclusion of this paper is as follows:(1)The main factors affecting the market liquidity are earnings per share, total assets, the stocks-holding per capita, stock prices, beta and stock market cycles. while the net capital gains rate, the marketable capital stock have little impact on the liquidity, and partial correlation exists between the net capital gains and earnings per share.(2) In the empirical study ,we found that there is a significant correlation between stock prices and liquidity. From the point of view of single-factor linear regression model, the higher the stock price, the better liquidity, and verify the hypothesis proposed earlier.(3) The higher the concentration, the better liquidity. Through the shareholding structure of dispersion and concentration of the two group we found that the difference was significant by the independent samples T test.(4)There is a positive correlation between earnings per share and liquidity. Improving the operation performance of listed companies can enhance the market liquidity.(5)There is a significant negative correlation between beta and liquidity, that is to say , the smaller the stock market risk, the better the market liquidity.(6)The stock market cycle has a significant influence on the liquidity. Liquidity in bull market is significantly better than that in bear market?...