The Study On The Liquidity Of OTC Markket

After years of development, China’s capital market has now formed amotherboard, the SME board, the gem and the counter market in different marketpositioning. The OTC market plays an important role in raising a large initialcapitalfor the enterprise and small and medium-sized enterprises in the growth stage.OTC market as the basis of the multi-level capital market system has become thefocus of the construction of multi-level capital market.Liquidity is important toimprove the efficiency of the capital market, is considered to be the important sign ofsecurities market, it is also the source of vitality of the securities trading market. Inview of the lack of empirical research, as well as the development of OTC market isgetting more and more attention in our country, I choose to study the liquidity ofOTCmarket．This paper mainly contains two parts: one is the research to the influentialfactors of liquidity;Second, the liquidity premium research.This article summarizesthe scholars at home and abroad for a long time in liquidity measures, the influencefactors of research, and the liquidity premium research.This article selected threeindirect constructed proxies for liquidity, Amivest liquidity measure, Amihudilliquidity measure, and a new measurement of liquidity based on the price discretemodel which comes from the latest research achievements of academic circles toenhance the robustness of the research. The empirical design uses Taiwanover-the-counter market data as sample, does a multiple regression analysis, and withthe three corporate bonds counter measure liquidity empirically the Taiwan marketpresence of liquidity premium.In the regression model, from the angles of securitiesand corporate characteristics, I selected the total distribution, coupon rate, the bondage, maturity, bond rating, number of transactions, the company size, profitability,capital structure, a total of nine possible liquidity impact factor. Samples selectedfrom Taiwan over-the-counter trading of corporate bonds, a total of30. Sample wereobserved between January2010and December2012. Data analysis tools are Excel and Eviewssoftware.In this paper, I draw two conclusions. First, regardless of what kind of liquidityproxy was chosen, in this paper return on equity always affect Taiwan’s corporatebonds over-the-counter market liquidity factors significantly. It also confirmed thatbond’s age, number of transactions have a significant effect on liquidity and capitalstructureunder different models. Second, no matter chooses what kinds of liquidityproxy, the liquidity of credit spreads were not significant. According to the abovejudges the current corporate bonds in the over-the-counter market in Taiwan withoutsignificant liquidity premium; In addition, Taiwan over-the-counter market corporatebond credit spreads is significantly affected by the credit risk, whichmeans corporatebonds pricing mechanism on Taiwan over-the-counter market needs to improve.