The Liquidity Of The New Third Market After The Introduction Of The Market-Maker System

Our New Third Board Market has long been a lack of liquidity, affected by the scale, the admittance doorsill of investor, the stock transfer mode and other factors. In August 25,2014, the market maker system was officially introduced New Third Board Market, with the core purpose of improving the liquidity of it. Therefore, the research on the liquidity of New Third Board Market after the introduction of market maker system has important theoretical and practical significance.Based on the systematic review of the relevant literature of market maker system in the domestic and foreign securities market, this paper selected a total of 30 companies as the research sample. Time node for the introduction of market maker system in August 25,2014, this paper selected the daily transaction data from January 2014 to February 2016 for analysis. The paper selected a comprehensive measure of liquidity indicator L and a turnover indicator to measure the level of liquidity. The stock liquidity is interpreted as a variable, the introduction of dummy variables as explanatory variables, a value of 0 said a stock transferred by agreement, the value of 1 indicates a stock transferred by market, the stock price, volume, the scale of circulation, price earnings ratio and equity volatility as the control variables, and from four angles to establish the model to carry on the empirical analysis:First, conduct an empirical analysis on the stock samples transferred by market making after the introduction of market-maker system in order to explore the relationship between stock liquidity and related factors. Second, conduct an empirical analysis on the change of the sample stock liquidity before and after the introduction of the market maker system. Third, carry on the inspection to the liquidity of sample stock taken the market making transfer and the agreement transfer after the introduction of the market maker system, to explore whether the market maker system significantly improve the liquidity of the New Third Board Market. Fourth, through the establishment of GARCH model, do research on the liquidity risk of sample stock transferred by the market making.The empirical results show that stock with higher prices and turnover, larger trading volume and scale and less volatile has higher level of liquidity. However, the liquidity indicator related to the bid ask spread, such as the comprehensive measure of liquidity indicator L in the first part of this paper, is not suitable for measuring the stock liquidity level of the agreement transfer. As a result, exchange rate index is used in the later two part of the empirical study to measure the level of liquidity, with the dummy variables introduced, intercept and interaction effects are taken into account at the same time. According to the regression results of the model, we found that the introduction of the market maker system significantly increased the new three board market liquidity, but the current New Third Board Market still has a large liquidity risk.Through the study of this paper, it demonstrates the significant role of the market maker system to improve the liquidity of the third board market from the empirical point of view. It provides a supplement to the existing theoretical literature, and lays a solid foundation for further study in the future.