The Research On The Relationship Between Stock Turnover Rate And Return Rate

GEM(Growth Enterprise Market)has received the widespread attention as a new securities market since the establishment on October 30, 2009 in Shenzhen stock exchange market. GEM is an important financing platform for the development of high growth enterprises. It’s an important guarantee for the establishment of independent innovation oriented country and multi-level capital market to improve China’s competitiveness. At present, the research on GEM is becoming a new research focus.The return rate is one of the important measure of stock price and an important reference which investors use to choose investment direction. This paper takes turnover rate as independent variable to study the effect of turnover rate on return rate. This study will not only enrich the existed asset pricing theory hypothesis, but also provide reasonable suggestions for investors. At the same time, it will have great theoretical and practical value on capital operation level of China’s listed companies.According to the related literature and actual characteristics of GEM, the paper chooses circulation market value, circulation ratio, return on net assets, book-to-market ratio as control variables to establish the multifactor linear asset pricing model. This paper studies the stock transaction data and financial data of 381 stocks in GEM from March 2010 to March 2015 to test the relationship between turnover rate and return rate, the existence of liquidity premium(liquidity indicator: turnover rate), the size effect, the BM effect. This article will also divide the market into rising interval, adjusting interval, falling interval to study. It will finally come to the conclusion and gives some policy suggestions according to the regression model results.