| With the development of financial markets, is characterized by liquidity of thefinancial crisis, the securities market liquidity has been a serious problem, about thesecurities market and the financial assets such as liquidity issue has caused wideattention of economists and financial experts in the world. Hong Kong as the world’sthird largest after New York and London financial centre, the stock market impact onthe economy, investment and financing at home and abroad, etc. Extensively. And itsfreedom developed financial market and perfect financial system also provides areference for other countries.In this paper, in view of the factors that affect the securities market liquidity andits liquidity premium is analyzed and the empirical research. First some basicconcepts and related theories of liquidity is reviewed and summarized. According tothe price, quantity, time of liquidity attributes, such as the various methods to measurethe liquidity which in combination with price, volume, price, time, other is dividedinto five types, and summarizes the way suitable to China’s securities market liquiditymeasures and methods.This paper choose the turnover rate (Turnover Rate) and illiquid index (ILLIQ)for analysis of variables, and choose the company size and the proportion ofoutstanding shares of listed companies as two control variables for the Hong Kongstock market liquidity premium for research. Finally on the basis of the proved thatliquidity premium, the use of the turnover rate and the Amivest ratio for the scaleeffect and the value of the Hong Kong stock market liquidity premium effect isanalyzed. |
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