Study On Listed Company Stock Liquidity And Its Influencing Factors

Stock liquidity is the vitality of the securities market, if the market due to lack of liquidity caused by difficult to complete the transaction, then the market will lose the basis for existence.Although stock liquidity has such significance in reality, as one of the areas of the stock market microstructure theory research, it has gradually been attention in the past20years. Since1990, foreign literature on market liquidity has been published. Demsetz firstly studied the securities assets transaction costs. Since then, there is much empirical research on this area. After the1990s, academics paid attention to stock liquidity in the literature. And its main contents are analyzed changes in the stock of liquidity in the time series and its influencing factors. There are very few literature that studied changes in liquidity in the time series and cross-section.Theoretically, the stock liquidity affected by factors related features show different variations. Comprehensive inspection company liquidity changes in the time series and in the heterogeneous of cross-section has the theoretical and practical significance. For the improvement and development of China’s stock market, the adoption of this research can identify relevant factors affecting the company’s stock liquidity and the impact of the mechanism, then put forward to improve the trading rules and regulations and other relevant measures according to the results, can significantly improve the overall stock Market stock liquidity. For the majority of investors, throw understanding stock liquidity and relative feature factors, can help investors optimize the investment portfolio, investment targets to reduce liquidity risk assets.Compared with foreign markets, due to the different trading mechanisms, China’s stock market sources of liquidity and the relationship between liquidity and influencing factors is quite different. By using the high-frequency data and daily data of Shanghai A-share market, we analyze stock market liquidity changes in time-series and differences in cross-sectional and their causes (factors)., and ultimately we come to the following conclusions:First, stock liquidity of Shanghai A-share stock market has gradually increased trend in time series, and in cross-section showing heterogeneity. For example, large company stock liquidity is better than small companies, small company is greater than the magnitude of change in large companies; second, the rate of return is the most important factor affecting stock liquidity, return levels directly affect the liquidity of the stock situation. The higher the return, the better the liquidity of its shares; third, the more active stock trading, the higher the price, the greater the size of the company, lead the stronger stock liquidity. Institutional investors have a little effect on maintain share price, and enhance stock liquidity.This paper is divided into four parts:The first part states the study of the background and significance of the study, and then reviewed literature, summed up the impact of relevant factors on liquidity.The second part of this paper is the theoretical analysis. First we summarize and analyze definition of liquidity. Then analyze the relationship between liquidity and factors in theory. Finally, We made assumptions about the factors associated with the liquidity characteristics as well as the relevant features of factor, and accordingly proposed conclusions assumptions we conclude that large company stock liquidity is better than small companies.The third part is to select the variables. Firstly, the measure of liquidity are discussed, and then selected the relative bid ask spreads, relative effective spread, depth and synthetic index as the index to measure the liquidity of stock market depending on.The fourth part is the empirical research, through descriptive statistics of the spread, depth and composite indicators of liquidity indicators, it visual analysis of the stock liquidity variation in time series and the in cross-section. then based on the above results it use panel regression to analysis the company’s stock liquidity,and analysis how return, stock prices, trading activity, company size, institutional investors holding to influence the stock liquidity.Innovation of this paper is mainly reflected in the following two aspects:First, to construct a direct indicator of the stock of liquidity through the use of high-frequency data, which makes the stock more accurate measure of liquidity; Second, compared with other literatures that only analyzing stock liquidity changes in time serials and influencing factors, we are more comprehensive and detailed analysis of the stock liquidity situation and its influencing factors.Meanwhile this paper have the following disadvantages:First, this article did not use as much as possible of a shorter time interval of frequency data to construct i intraday liquidity indicators, which can affect the accuracy of the structural liquidity indicators; Second, the theoretical analysis of this paper of the relationship between company’s stock liquidity and factors is not comprehensive, there are many problems and omissions, make the following empirical analysis in this article ineffective.