The Research On The Liquidity Of China Stock Market

The finance crisis since 2008 and the resolution of China stock market have made most of Chinese thought carefully of the stock market. The liquidity is the most important factor of stock market. As for stocks, the more badly liquidity of stock market will cause the more transaction cost and the discount of the resource allocation.This paper researches the liquidity of China stock market. It has three parts. The first part summarizes the theoretic and practical research home and abroad. The second part builds a new and general index through the factor analysis, which is defined as YS and can eliminate one-sidedness. The third part uses the data from June, 2005 to Sep, 2010 of 71 stocks of Shanghai and Shenzhen Securities Exchanges and 28 stocks of Second-board Market and a test method for goodness of fit to research the liquidity of Chinese stock market. Also, the paper has researched the liquidity during the different industries, market stages, and so on. And bases on the researches, the paper makes some conclusions and policy proposal.