The Relationship Between Stock Market Liquilidity And Information Studies

In the normal stock market, participants need to take three areas into consideration at least—revenue,risk and liquidity.Liquidity will determine the profits level and the risk size, it is the core factor which must be taken into consideration while investing and asset pricing. Extreme turbulence of market is often accompanied by shortage of liquidity. Ultimately, the market will restore balance gradually with assitence of government. So, liquidity is the cornerstone of the stock market's survival and normal operation.Information has serious impact on market liquidity,especially in the crisis state. Release any information may cause more significant market's shocks. Market microstructure theory has opened prelude to the reserch of how information effect market liquidity, however, it's not address the prosedure of this impact. Behavioral finance introduced psychology to the study of the information's impact on stock market, analize the inherent mechanism of this effects. The article will establish a distributed lag regession model, blend market microstructure theory and behavioral finance, implicit the effects between information and market liquilidity.In asymmetric information market, stock's circulation is feedback loop between information and liquidity, and which is operated by investers or speulaters. The traders formed best decisions under sub-optimal enviorment by update information-revise belief, thus stock transaction happened and liquidity took shape.Meanwhile, the result of stock is also a kind of signal to the next.Based on the purpose mentioned above, the main stucture is arranged as follows:ChapterⅠ,introduuction.Take Long-term Capital Management's failure for example, illustrate that liquidity play an important role in maintaining stock market's normal operation.However,too much disclosure of information may be aggrate market's volatility. Chapter II,introduction to liquidity.Overview vatieties of definitions of liquidity, analysis the nature of liquiditiy,summarize metrics of liquidity and evaluate the strength and weeknees of metrics. Section II,we summed up the nature of liquidity as:time-effect,bid-ask spread and positive feedback effect.Chapter III,theoretical framework of information and liquidity. Firstly, it presents the development of micro-structure theory, explain kinds of theories which show effect of information disclosure mechanism on liquidity; then,introduce the cognitive dissonance of Behavioral Finance and Noise Trading Model(Delong),explain the procedure that traders update information and amend belief; finally, set forth the mechanism that how information effects liquidity through a complete transaction process.Chapter IV,liquidity and information empirical research on Chinese stock market. It's core of the paper.Firstly,build an applicable, comprehensive indicator to infer liquidity on the basis of Chinese stock market trading mechanism;secondly,introduce a indirect index to estimate the degree of asymmetry information;finally,take market liquidity index as dependent variable,and asymmetry information index as independent variable, eatablish a regression model.We select date of the fifty stock which consitiuate SSE Divident Index's 50.The result shows from regession analysis as follows:the lagged one,two liquidity,current information,lagged one information are positively correlated with current market liuidity.Thus, the empirical results is in line.with expectations.Chapter V,Summary and outlook.Summarizes the main conclusions of this paper,clarify innovations of this article,and put forward the issues and directions which should be continue to study.