Research On Factors Affecting Liquidity Risk Based On Model Averaging Method

Liquidity is the important factors that affect the vitality of the stock market,and it is an effective indicator for measuring market performance.A stock market that lack of liquidity will lead to market failure and lost.Also,if the company stock has liquidity problems,the companies will face a difficult situation.In the long run,companies survival situation is worrisome.So the research about stock liquidity has very important significance.This paper makes an empirical study on the stock liquidity risk in China.the research sample is 100 stocks which is normal in ShangHai and ShenZhen stock exchange.They have normally performance in April 1,2015 to December 16,2016 and the period of prediction is December 19,2016 to December 30,2016.Then we analyze the factors affecting stock liquidity based on OPT of the model average.Getting the results of the model average and step wise regression model respectively,and compare the Amihud illiquidity ratio and optimal ratio of step wise regression model and the model average.The empirical analysis results show that the listed shares outstanding,turnover rate of floating stock,the daily price fluctuation,and the average price of the stock are affect stock liquidity.From the prediction accuracy and optimal ratio,we can clearly draw,the results based on the OPT model average is significantly better than that of step wise regression.