Empirical Research Of The Stratification's Influence On The New Third Board Market Liquidity And Volatility

On June 27 of 2016,the stratification was officially introduced in the new third board market.Liquidity and volatility have always been the most important elements of stock market for a long time,which is no exception for the new third board market.The new third board market liquidity can be improved and volatility can be weakened are welcomed by most scholars,based on former studies of NASDAQ market's stratification.This study chose 3162 companies in the new third board market and daily data of 120 market days before and after June 27 of 2016 as sample.Firstly,Amivest ratio and turnover rate are chosen as the liquidity indicators.Meanwhile,Standard deviation of closing price and standard deviation of turnover rate are chosen as the volatility indicators.Secondly,this study use DID model to prove influence of stratification on the new third board market liquidity and volatility empirically.The empirical results show that:(1)The stratification doesn't cause significate influence on the new third board market liquidity.Factors such as liquid equity,proportion of liquid equity,net profits,number of market makers and number of qualified investors cause changes on the market liquidity.(2)The stratification has significantly weakened the new third board market volatility.Besides,factors such as liquid equity,proportion of liquid equity,net profits and compound growth rate may also change the market volatility.At last,with the empirical result,some suggestions have been given on how to make the new third board market's stratification more efficient.