Anticipation Risk And Liquidity Study

The ultimate objective of stock market is to supply opportunities for investors to transfer their stocks. As the core value of the financial assets, liquidity is one of the most important conditions to support the security market running smoothly and healthy.As a big event of the China capital market, the influence of the reform of equity segmentation is still continuing. We can say that the reform of equity segmentation has completely rebuilt the China A-share market.And this made me think about putting the reform of equity segmentation as the anticipation risk to a certain extent to the study of anticipation risk and market liquidity.For this reason, in this paper the reform of equity segmentation will be chosen as a special example for the anticipation risk. And the paper combined the the reform of equity segmentation into the rational expection theoretical analysis frame from the investors' point of view during the 16 months before the reform of equity segmentation, and properly analyzed and expounded the influence of the existence of this important anticipation risk, and farther, argued the effect of liquidity premium.On the basis of the China A-share market data, the paper used the liquidity synthetic index, deduced in the later part of it, to demonstrate the conclusions that have been deduced in the front parts of the paper.The paper is divided into six sections:The first section puts forward the research background, the objective, the significance and the latest research results in the related areas. And there are some annotations of the important conceptions in the paper.The second section mainly studies the conception and the property of the market liquidity in details. As the mainly analyzed and studied object, the market liquidity is defined really extensively by most of the scholars, which has been defined into three facets: quantity, price and time. As learned from the related literatures domestic and abroad, the paper also gives the definition of the market liquidity , which is the capability of transacting more securities in less time with less dramatic price volatility.The third section mainly studies the inner relationship between the anticipation risk and the market liquidity, and models them on the basis of the rational expectation theory with some reasonable hypothesis. After some mathematic deduction , the paper shows that , some rational investors would withdraw their investment from the security market because of the existence of the anticipation risk of reform of equity segmentation, then the effective anticipation of the market would decrease , sequentially the market liquidity would also reduce , which would lead the liquidity premium effect.The forth section mainly studies the determinants and the measurements of the market liquidity. Firstly it reviewed the literatures domestic and abroad about the measurements of the market liquidity and gave the compendious comments to them. Based on this , the paper designed a synthetic index to measure the market liquidity which is a three-dimensional index including the quantity, price and time.The fifth section is the demonstration of the China A-share market . In this section the paper used the synthetic measurement index and the China A-share market data during the 16 months before the reform of equity segmentation to measure the market liquidity. The demonstrating result shows, the market liquidity decreased remarkably during the sample period, which is accordant to the theoretical conclusion that is because of the existence of the anticipation risk of reform of equity segmentation, then the effective anticipation of the market would decrease , sequentially the market liquidity would also reduce then. Meanwhile the liquidity premium effect was also proved by demonstration.The sixth section summarized the whole research frame , the practical significance of the conclusions , and some shortages which should be ameliorated in the future study of this paper.