Research On The Factors Of China’s Stock Market Liquidity Based On The High Frequency Data

Liquidity is a hot spot in research of financial market microstructure. Analysis of liquidity is of great significance for investors and market regulators. Ultra high frequency data records the whole dynamic change of trading process. So it has more advantages in depicting market microstructure. Especially with the rise of algorithmic trading, the research of the stock market liquidity based on high frequency data is becoming very important.This article selected different stock exchange market and scale of stock high frequency data as sample, and set the volume duration as liquidity measurement index. It mainly analyzed influence factors of liquidity measures index through hypotheses test. At first, it used the expanded form of autoregressive conditional duration model (WACD model) for fitting the volume duration, and through residual test to select the best fitting model. Secondly, this article studied the non stock characteristics influence factors of stocks intraday liquidity (such as market, market size) based on analysis of volume duration. At the same time this article also put forward some hypothesis about the stock characteristics influence factors of stocks liquidity (such as price gap, trading frequency), and through adding the assumptions variables in the optimal WACD model tested the hypothesis in order to judge whether variables can explain stocks intraday liquidity and its different impact. The study found that:First, the best model of measuring volume duration is WACD (2,2) model.Second, based on the different stock market and different stock scale, we can find that the stock liquidity of Shanghai market is better than that of Shenzhen marke. And large stock liquidity is slightly higher than that of small stock liquidity.Third, the smaller bid-ask spreads, the shorter trading volume duration.Fourth, the higher yield, the shorter trading volume duration.Fifth, in a given volume level, the lower trading frequency, the longer duration.This article explored the relationship of intraday liquidity and its relevant variables. In the future, the introduction of such factors over the liquidity measurement index can make the index more comprehensive. Simultaneously, it provides a feasible thinking way of the measure and forecast for stock intraday liquidity. It has certain practical significance.