| A frequently quoted objective of stock exchanges around the world is to provide a liquid market, where liquidity is defined as the ability not only to complete the transaction but also does not result in significant price change. The level of liquidity is an important criterion to measure the quality of the stock market, also is an important object of the market microstructure theory study. The most important functions of the market is to ensure that investors can carry on transactions as soon as possible and efficiently while keeping the cost much lower.Firstly, by analyzing the trading liquidity of the operational mechanism, it is possible to divide the Liquidity factors into trading system, Stock characteristics and monetary policy; Secondly, this article systematically summed up the domestic stock market liquidity theory research, and liquidity metrics. On this basis, three factors make this paper a detailed qualitative analysis and quantitative analysis. The results show that: the liberal trading system helps to reduce transaction costs of investors and enhance market liquidity. On the contrary, more stringent trading system will reduce the level of market liquidity. In another impact of stock market liquidity factors, all of the stock amplitude, the direction of order flow and earnings mobility rate are important explanatory factors. Amplitude on the fluidity is the most intense and the longest. Compared to the stock characteristics, monetary policy changes on stock liquidity is relatively small, but last much longer.Compared with the foreign securities market, China's stock market liquidity level is relatively low. There is still large room for improvement. In view of this, the stock market trading mechanism needs to be improved, it includes that improve the transparency of information, reduce policy interventions, strengthen market supervision, protect the interests of investors and cut down transaction costs, which can enhance the level of market liquidity. |
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