| Firstly,this paper investigates the impact of stock liquidity in the secondary market on listed firm value in Chinese stock markets, uses the relative effective spread and Tobin's Q as the main measure, based on the high frequency trading data of A shares traded on the Shanghai and Shenzhen stock exchanges in the year between 2004 and 2009. The result showed that stock liquidity in the secondary market had significantly positive impact on listed firm value in Chinese stock markets. After Tobin's Q had been divided into two parts, the result suggested that stock liquidity had impact on listed firm value through the firm's cost of capital and operating performance. The stock liquidity in the secondarymarket positively affected the listed firm value by reducing the cost of capital and improving the firm performance.And the impact was more obvious in the small size firm.Secondly,based on CSI 300 index high frequency trading data in the year 2007-2010 as sample, integrated the factors that have impact on the liquidity of stock, and used the regression analysis method, we investigated the effect of the secondary stock market return on the stock liquidity. The results of the study showed that there is a significant negative correlation between the stock market returns and stock liquidity and the stock market returns has an asymmetrical effect on the stock liquidity. The decrease in the stock liquidity is more when the stock market return decline. At the same time, when the stock market decrease is huge, the change of the stock liquidity is much more intense.Lastly, this paper uses the main component method to construct investor sentiment measures and most of the measures are liquidity measures. |
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