The Research Of Liquidity And Liquidity Premium On Chinese Stock Market

The research of liquidity problem in the stock market has always been a controversial butvery meaningful hot field. Since Amihuid liquidity premium theory is put forward in1986, theliquidity opened up a new chapter, and became a milestone in the capital asset pricing theory.Not only that, capital "vision" like small size effect, value effect and momentum effect alsobecame the focus of people’s attention. For the purpose of enriching the research of liquidityproblem and testing the authenticity of "vision" effect, this article uses daily date from all stockslisted on the Shenzhen stock exchange and the Shanghai stock exchange over the period ofJanuary2005-September2012, selecting turnover TR, Amihuid ratio R/V and AF ratio R/TRthree liquidity measures. first of all, from the perspective of individual stocks, we tests thespearman rank correlation coefficient between the three liquidity measures and size, the resultsshow that R/V is negatively related to the size of height, the correlation between R/TR and sizeof is very weak, while TR is not associated with size; Secondly, by calculating the yields of theportfolios constructed on the basis of the R/V and R/TR and analyzing the relationship betweenthe three liquidity measures and portfolio yield, we prove the existence of the liquidity premiumeffect, while TR portfolio doesn’t show the same conclusion; moreover, this paper also analyzesthe time trend of the market liquidity, and firstly find that illiquid peak based on R/V and R/TRhas high correlation with major events.More importantly, in view of the financial, insurance industry, this paper establishes threeliquidity-adjusted model: capital asset pricing model (CAPM), the three-factor Fama and French(1993) model and the four-factor Carhart(1997) model, using the fixed effects panel dataregression, we find that the liquidity factor represented by R/V and R/TR has significant liquiditypremium phenomenon (consistent with the liquidity premium theory), and asset expected excessreturn is very sensitive to R/V and less sensitive to R/TR, but on the basis of TR, we can’t getsuch a conclusion. The last part summarizes and puts forward related suggestions.