Chinese Stock Market Liquidity And Empirical Research

Stock Market Liquidity(SML) means the possibility of transforming security assets into cash. SML is the main index to scale the stock market efficiency. The globalization of modern economy requires the production resource distribute internationally. To make resource distribution availably, establish a market with favorable liquidity is the primary problem that should be resolved. With the development of Chinese stock market, the market liquidity is becoming more urgent issue. How to establish a market with good liquidity becomes one of the most important topic for discussion of the development of stock market. Based on local and foreign scholar's studies, this article has a study on liquidity in theory, and we have a empirical research with the exchanges' trade data in shanghai and shenzhen stock. They divide into 5 chapters, each chapter's major content is as follows:In chapter one, at the beginning, we discuss the background of liquidity problem, the concept and intension of liquidity. After introducing the purpose of this research, we give the main content and the framework of this article.In charter two, we give a review of domestic and foreign literature of liquidity research from two aspects on measure method and influence factors of liquidity.In charter three, we discuss multiple attribute and measure method of liquidity emphatically. Then, we create the simple liquidity uniform measure in calculation, and this measure will be suitable for Chinese stock market.In chapter four, we investigate 60 sample company with the data from January 4^th to December 30^th in 2007 which listed on shanghai and shenzhen stock. We definite price, performance level, company scale and circulating stock shareholder's influence as basic analysis variables. Applying Simple Factor Correlation and Stepwise Regression, we finally derive the model. Moreover, we compared the liquidity of shanghai stock market and shenzhen stock market, the liquidity before and after the share reform. We analyzed the relation between liquidity and turnover ratio, and finally, we derive the conclusion.In chapter five, based on the study above, we summarize the conclusion of empirical analysis. Then, we proposed some policy suggestion to solve our stock market's liquidity problem. The last, we put forward some research idea in the future.Based on the theory and empirical analysis, the main conclusion of this article is following:1,the leading factors affect liquidity are price, EPS,circulating stock capital. However, ROE, percentage of the total 10 shareholders, percentage of circulating share and equity have few effect to liquidity.2,There is a significant correlation between liquidity and price. With the same absolute price difference, the lower price's liquidity has a higher cost, and this liquidity is poorer than the higher price's.3,There is a positive correlation between EPS, circulating stock capital and liquidity. Improveing EPS and circulating stock scale of the company can increase liquidity.4,There is no significant differences between shanghai and shenzhen stock market's liquidity. There is notable negative correlation between turnover ratio and liquidity. In addition, liquidity after the share reform is lower a litter than before.