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China's Stock Market Liquidity

Posted on:2005-03-10Degree:MasterType:Thesis
Country:ChinaCandidate:S X HeFull Text:PDF
GTID:2206360125464161Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The most important function of security markets is to optimize the resources,but it must be based on the market liquidity, therefore, liquidity is the life of security markets in this sense. Prior to the 1960's, Demsetz put forward the theory of transaction costs, then the market microstructure became the focus of western financial theories, the most important focus on the issues :how to evaluate the liquidity and improve it。owing to the fact that the trading mechanism of western developed countries is based on the quotation-driven and different from the order-driven, so, with review to the abroad liquidity ration, we build new liquidity ratio which combine price with trading amounts: that is to say, the liquidity of market is dependent on turnover rate and the ratio of price changesIn recent 10 years, the liquidity of our security market was up and down, which mislead the investors: the stock market is enough liquid. 1997 witnessed the Asian financial crisis for lacking liquidity ,which crashed the stock markets of many countries , then, our 2001 sales of government holding stocks caused the downfall of stock index, millions of market values disappeared abruptly .so, truly understanding the liquidity of security market and bringing forward the suggestions to enhance the market liquidity is of great importance both on the theory and reality. This main contents of this thesis is as follows:The first chapter simply introduced the concepts and meanings of liquidity, discussed the current liquidity situation of our stock market, put forward research contents.The second chapter narrated the all literatures about the liquidity evaluating ways and correlative researches at home and abroad The third chapter talked about the liquidity in the whole ten years from 1992 to 2001, analyzed the differences of Shanghai and Shenzhen stock market.The fourth chapter studied the month effect of sock, found that the liquidity of first half year is better than the next half year and explain the reasons; The fifth chapter examined the reverse scale effect and price effect of liquidity, concluded that the less the outstanding shares, the better the liquidity; the lower the price, the better the liquidity.The sixth chapter analyzed the changes of liquidity when the stamp taxes changed, drew the conclusion that the liquidity is negative correlative to the stamp taxes, it is only a factor influenced the liquidity. We must take other measures to enhance the market liquidity.The seventh chapter put some suggestion about how to improve the liquidity of our stock market, for example: improving the quality of listed companies, innovation of trading mechanism, and so on.
Keywords/Search Tags:liquidity, turnover rate, liquidity ratio, trading mechanism
PDF Full Text Request
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