Comparative Study On Shanghai And Shenzhen Stock Market Liquidity Based On VNET

As an important part of the microstructure market theory, the liquidity attracts more and more attention from the scholars. The fundamental purpose of the stock market is for economic agents to provide opportunities for trading financial assets, thereby enhancing the liquidity of financial assets.The liquidity of Stock market is the ability to make the market participants execute transactions quickly in the case of the transaction cost as low as possible.A liquid market will help investors to complete the transaction quickly at a reasonable price, thus enhancing the confidence of its investors, which is to maintain the stability of securities markets play an important role.With the further development of global economy, Shanghai and Shenzhen stock market have faced the conflicts of international factors, especially financial crisis makes capital market liquidity become the research focus once again. In this paper, the theoretical part reviews stock market liquidity status of research at home and abroad, then makes comparisons on the measurements of stock markets liquidity in order to fix this essay’s measurement. The model validation part makes a introduction about VNET’s original model at first, then makes estimation and related examination on VNET and its original model to verify the models’applicability in the stock markets of China.The empirical section chooses the stock markets of shanghai and Shenzhen as the object of study. Then, seleck10typical stocks respectively from the Shanghai50index and the Shenzhen Component Index for sample, And then use VNET to quantify the depth of liquidity which is represented by the high-frequency data.Finally, comparing the VNET sample sequence of Shanghai and Shenzhen stock market stock, from which it discovers Shanghai stock market has higher liquidity than that of Shenzhen, meanwhile, more steady than Shenzhen stock market. This paper is aim to analysis of reasons for the liquidity differences between Shanghai and Shenzhen stock market through a comparative study of two market liquidity, in order to improve the liquidity of our stock recommendations, and to provide theoretical support and the actual operation for the stock market participants.