The Research On The Liquidity Model And Liquidity Impact Factors Of China Stock Market

The research on the financial market microstructure theory includes several areas, such as the formation and discovery of price, the disclosure of information, the operating mechanism and performance measurement of the market, and so on. The performance measurement of the market mainly based on four key standards: Liquidity, Stability, Transparency and Efficiency.The security market is the important part of financial market.If the market is short of liquidity, it will lead to the operation inefficiency, then the market has no need to exist. So the reseach on the liquidity of the security market is meaningful. Based on the relevant study of this field at home and abroad, the paper focuses on two issues: Firstly, the liquidity patterns and characteristics on China stock market; Secondly, price variation,volume, size, institutional equity ratio, ownership centralization, and other impact factors of liquidity.Around these two issues, First of all, the thesis focus on the the significance of the study with relevant theory and practice backgrounds.Then, reviews the definition of liquidity , as well as the measurement methods, liquidity patterns and decision factors. And then, based on the price impact model and the liquidity ratio model, this paper uses programming sofeware and high frequency data to conduct an empirical study of liquidity patterns and the associated determinants that affect liquidity. Through the above analysis, we get the following conclusions:Firstly, we choose price impact coefficient as a substitute variable of liquidity and calculate the varied coefficients during different periods in the day .we also form the price impact matrix for each sample.Secondly, the empirical study finds that price impact coefficient exhibits notable"intra-day effect"and unobvious"week effect".Specifically, the stock sample which owns over 100 million real outstanding shares has the reverse"S"intra-day pattern and the"M"intre-day pattern. These findings help investors understand the characteristics of stock market's price discovery mechanism, help investors choose highly liquidity financial assets, and especially help institutional investors to adjust their trading strategy dynamically, minimize transaction costs, and reduce their liquidity risk. Thirdly, we find price impact coefficient is greatly influenced by several dependent variables, and we conclude that:①the larger the real outstanding size of the stock, the smaller the transaction costs is, then the price impact coefficient is better;②the more the equity ratio of institutional investors,the lower the liquidity is;③the higher the concentration of company shares, the greater the cost is , the poorer the liquidity of the stock. On one hand, our results show that institutional investors will face greater liquidity risk if they own highly part of the equity.On the other hand, it shows that we should strengthen information disclosure system for our listed companies. At the same time, the listed companies should balance the pros and cons of the ownership concentration, and should try to find the ideal model of corporate governance.