| The traditional liquidity asset pricing model is mostly based on the low frequency data of China's stock market,using the turnover rate which reflects stock trading volume as the starting point of constructing liquidity index,to depict the influence of stock liquidity on asset pricing.China's stock market has more small and medium-sized retails,and the degree of information asymmetry is more serious,trading liquidity in the more shortage,single from monthly,daily data modeling analysis to explain the influence of liquidity is not enough persuasive.The high frequency data contains more abundant trading information,so it can explain some questions that the low frequency data cannot explain,such as the change of price fluctuation and excess returns of driving force,etc.;at the same time it also can improve the modeling prediction ability.In addition,after the 2008 financial crisis the market showed an obvious decline phenomenon in liquidity,especially the commonality of liquidity in China's stock market,which has not got a corresponding attention.Therefore,this paper mainly has carried on the research discussion from the following two aspects.1.We explore the relationship between the liquidity and asset pricing research again.We select the high frequency stock data of CSI 800 from 2009 to 2013 as research object and use four models of Kyle(1985),Glosten&Harris(1988),Foster&Viswanathan(1993)and Sadka(2006),based on the order flow to construct a series of illiquid price shock metrics.We respectively introduce the time sequence of portfolio and cross-section regression analysis to test the impact of China's stock market liquidity risk factor on asset pricing.The results show that even if based on F-F three factors or Carhart four factors to adjust the excess yields,liquidity pricing function is still significant,and illiquid unexpected parts of the major impact on excess return,after controlling other variables of the risk factors in the Fama-MacBeth cross-section regression analysis.2.We have carried on the empirical research to the influence factors of liquidity commonality.Through investment participants in the securities markets before April 2015 as a bridge of fund liquidity,we innovatively link fund liquidity and systematic liquidity,to research the main influencing factors of liquidity commonality among the stocks.And we construct a theoretical model of liquidity commonality to find the reasons for such changes of listed companies in China's stock market under different market conditions and the influence of different factors on the liquidity commonality after the 2008 financial crisis.It was found that the market decline and market volatility will increase liquidity in common,especially in the downstream market.The market will appear a phenomenon of lack of liquidity,showing a significant liquidity commonality between stocks.Introducing a new specific variable to test the direct relationship between the supply-side determinants and liquidity commonality,we find the new investors who participate in the market has a negative correlation with liquidity commonality,which is consistent with the supply factors hypothesis. |
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