The Research On The Impact Of Market Liquidity On Stock Price About The New Third Board Listed Companies

The new third board, as the national unified OTC market, reflects the value of the company’s shares by market prices. Not only provides a platform of the transfer of shares and improves liquidity of equity, but also it can greatly improve the financing capacity and enterprise value of the business.At present, there are two mainly trading ways applying to the new third board market,including market-making transfer and contract transfer. This paper will focus on the impact research about the liquidity of market-making stock market to the listed company’s stock price of the new third board, which provides a scientific decision basis for listed companies and various investors,and offers a reference for the construction,improvement of the new third board and even Chinese multi-level capital market. The main research work and conclusions are as follows:Firstly, according to the relevant theoretical research and analysis of the situation of the new third board market. a comprehensive liquidity measure index-‘L’ was built from the liquidity of multiple dimensions of width, depth and elasticity. Secondly, the paper applies the liquidity measure index-‘L’ created above to the measure the liquidity of the new third board market in 2015. Finally,through the observation in the 100 stocks from January 2015 to February 2016 in the range of 280 trading transactions,the paper finds that the liquidity of market-making stock market exists some impact on stock prices. Based on the above findings,the paper puts forward hypotheses,selects the liquidity measure index-‘L’,the proportion of tradable shares,the size of company and per share earnings as indexes,further crates the regression model. Meanwhile, the paper takes another 100 stocks of GEM similar to the new third board stocks in outstanding capital stock between the same period as the control group, and uses Spearman’s rank correlation coefficient and stepwise regression method to respectively finish the correlation and regression analysis,researching the relation and impact between the market liquidity of the new third board and the stock market price.The empirical results show that:(1)Within the normal transaction time,the market-making stock price of new third board effects on the stock liquidity levels positively;(2) The market-making stock price of new third board effects on the proportion of tradable shares negatively, but not significantly;(3)The market-making stock price of new third board is negatively correlated with the size of company, and also not significantly;(4) The market-making stock price of new third board and per share earnings show a significant positive correlation;(5) The stock price and stock liquidity levels of GEM are positively correlated.With the enhance of the market liquidity levels,the degree of influence gets increasing.