| The price of risk assets is one of the main capital market research, but liquidity is the research topics of permanent securities market liquidity premium’s theory is the basis for research mobility of affecting the prices of the securities.The purpose of researching stock market liquidity premium is to solve that what are the impact of stock market liquidity on the price, only when we know about this issue can we enable investors to have confidence to invest in the capital markets.and the inventors participate fully in the stock market provides insurance for its liquidity.So it creates a virtuous circle to promote the play of the financing function of the stock market, and to promote the securities market, continues improvement and health development, thus to achieve the optimal allocation of resources.China’s securities market was established in the1990s after20years of development, it got considerable progress in market size, transaction types and the rules of the market regulatory rules, gradually mature. Mobility as an important factor of the capital market, assets can be quickly converted at reasonable prices and lower transaction costs to a capacity of other assets is an important indicator of the evaluation of the quality of stock market run much academia attention. In the ample liquidity’s market, the cost of the trading of securities is much lower, the market is relatively stable, investors are confident that the market will also increase the efficiency of resource allocation.In the process of global economic integration,As the important places of the capital elements of the securities market, which is the important hub of value even in the realization of limited resources, so established a full flow of the stock market is the need of a country’s economic development.Therefore, the liquidity problems of small and medium-sized board market will help to improve the market mechanism for small and medium-sized board market, and the exploration of the liquidity premium effect is conducive to understand the mechanism of market prices of small plates, making it a better play to the investment and finance functions.China research for the stock market liquidity and the liquidity premium, but mainly concentrated in the motherboard market. The small plate establishment experienced a short time, the mobility of the plate is little, almost in a blank state. what about the China’s small and medium-sized board market liquidity? The existence of a liquidity premium? If there is, what are the effects of the liquidity premium? I believe that the research and answers to these questions is necessary to have practical significance.The basis for the study of relevant literature based on micro-financial market structure, combined with the actual market and the status quo of China’s small board, a change in the past, a simple measure of liquidity based on a single dimension, but to use the SPSS factor analysis to construct a comprehensive measure of liquidity indicators, and on this basis we will build the index and stock returns regression testing of small plates of market liquidity premium effect.The first chapter is an introduction, the article studies the background, purpose, significance, and of all sections of the intrinsic link for a summary of readers at a glance the article topic easily. Includes the research background, significance, research methods and ideas, innovation and lack of content.The second part is the part of the theoretical studies, mainly to standardize research methods, a very wide connotation of mobility, including the liquidity of the corporate assets of commercial banks to the liquidity of the currency in circulation as well as the liquidity of the securities market, the liquidity of the securities markets divided into the market’s overall liquidity and stock liquidity at two levels. This chapter, Section II of liquidity and the liquidity premium theory and empirical literature review and comment on in-depth understanding of previous research perspective and research methods, weaknesses, and provide a theoretical basis for the below ideas and arrangements.Section3of this Chapter is a liquidity measure of the theoretical analysis, description and evaluation from width, depth, immediacy and flexibility four dimensions of liquidity measure indicators, building pave the way for the mobility below.The third part is the characteristics of China’s small and medium plate market analysis, mainly to standardize research methods, small plates market is the characteristics of product of China’s national conditions, the transition sections of the Main Board and GEM market, because this chapter first make a brief introduction of small and medium plate, including the positioning of the small and medium-sized board market, legal environment, with the motherboard market, the market system are compared. Then made a detailed analysis of the market characteristics of small and medium plate market, including its special status, the distribution of listed companies on the basis of the last previous analysis, summarizes the flow of market liquidity advantage of our small and medium-sized board and there may be problems.The fourth part is the part of empirical research, the main method are analysis and linear regression of SPSS. This chapter first selected in the second part of the index based on the analysis represents the mobility of the four dimensions of7indicators for common factor extraction method by SPSS factor analysis, principal component analysis, was constructed from four dimensions measure of small and medium board market liquidity indicators, and use to build a good indicator of G with stock returns, liquidity premium effect of the linear regression testing of small and medium-sized board market. The test results show that China’s small and medium-sized board market there is a liquidity premium effect, but not very clear, that is, weak liquidity premium effect.The fifth part is the part of the main conclusions and recommend. Datioms are summarized, in the fourth part of the empirical test on the basis that China’s small and medium-sized board market liquidity is still relatively full, but the liquidity premium effect is weak. Liquidity premium effect of weak mainly due to the development of China’s small and medium plate market is not mature enough, although the small and medium-sized board market shares for the high-tech SME with good growth potential, but the listing threshold is much lower,investor confidence is not enough, once there is little sign of trouble in small and medium plate market, investors will be frequent trading. Therefore, the investment psychology of the investor contradictory and irrational investment behavior of weak market liquidity premium made an effect on China’s small and medium-sized board. Finally, the author of this chapter liquidity should be maintained within reasonable limits too high and too low is not conducive to the healthy operation of small and medium-sized board market, and improve the liquidity position, maintain our small board market liquidity health of recommendations. The main contribution of this paper:(1) although there are a lot of research literature on liquidity and the liquidity premium,but the research literature on the small medium-sized board market liquidity and the liquidity premium is not much. China’s small and medium-sized board market is very characteristics, and how China’s small and medium-sized board market liquidity and the liquidity premium is? This article will this exploratory research, and initiate follow-up of the small and medium-sized board market liquidity and the premium liquidity.(2) the literature are used in liquidity and the liquidity premium single indicator measure of liquidity, while starting from the mobility of the width、depth、 immediacy and elastic properties、respectively from the combination of price、 trading volume、price and volume the three selected seven representative indicators by factor analysis, the combination of a compound mobility indicators.The main disadvantages of this article:the control variables and data. View of the length, data and time constraints, I can no every possible impact on the stock is expected to yield factors added as control variables, only select the expected rate of return on the stock is more obvious, and in the academic been recognized and the three generally accepted indicators as control variables of this study, which may lead to the interpretation of the findings of lack of effectiveness. Data, China’s SME Board was established not long and the market is not mature enough, data collection and accumulation of the database of the plate does not have the motherboard market data and comprehensive, and optional data of the sample space is relatively small, on the empirical test results will have a certain impact, may dispute the validity of the empirical test results and convincing cause. |
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