Layered System For The NEEQ Market Liquidity Impact Study

The financing problem of small and medium-sized enterprises financing has been paid close attention to,China has established a small board and gem to ease the plight of its financing difficulties,but the effect is not ideal.Compared to foreign 60%-85%SMEs can direct financing through IPO,while the proportion of China is less than 5%.The establishment of the NEEQ market is to change the financing of SMEs in China,by way of inventory of SMEs to revitalize the stock,thereby improving the survival of SMEs,and promote the development of the real economy.Since the rapid development of the NEEQ market has been very rapid expansion of the country,is now the largest listed companies in China's capital market,is the first choice for small and micro enterprises direct financing.However,due to poor liquidity,the financing function of the NEEQ market companies are also affected.According to the current situation and needs of the development of the NEEQ market,the NEEQ market in June 27,2016 formally implemented a hierarchical system.With the landing of the hierarchical system,many experts and scholars believe that the liquidity of the NEEQ market will be improved;some scholars believe that the hierarchical system will make the underlying layer of enterprises into a liquidity dilemma.This paper will combine the theoretical and empirical methods to analyze whether the hierarchical system can affect the flow of the NEEQ market and what impact it will have.In the theoretical analysis,this paper introduces the concrete implementation plan of the hierarchical system,and analyzes the mechanism of the hierarchical system on the liquidity of the NEEQ market.In empirical research,from the three index sample stock in the 10 selected respectively from the innovation layer and the base layer adopts the layered stock,20 days before and after the transaction of ultra high frequency data.Since the data of the NEEQ market can only be accurately divided,the original data is processed accurately to seconds.Observing daily data,we can find that the data of NEEQ market do not have the daily effect of high frequency data.Therefore,the WACD model is directly fitted to these data,which will be prepared for the study below.According to the measurement of liquidity research,this article selects the VNET index,the fixed price threshold as a price duration,VNET greater liquidity that better,more novel VNET less dynamic flow.The VNET index can only change before and after stratification from the description of statistical terms of the influence of convection stratification system,so this paper also established the model of influencing factors of VNET index,set up a dummy variable to analyze the influence of dynamic hierarchical system by convection in the model.If the variable coefficient is not 0,is that the stratification system will affect the liquidity,if the coefficient is negative,the hierarchical system makes the reduced liquidity,if the coefficient is positive,the hierarchical system makes the liquidity enhancement.Through theoretical analysis,this paper concludes that the stratification system will affect the liquidity of the NEEQ market,and the conclusion that the liquidity of the innovation layer will be enhanced after stratification.Through empirical analysis,we find that the impact of the hierarchical system on the liquidity of the NEEQ market has shown a trend of differentiation,and the stratification system makes the liquidity of the innovation layer enhanced and the liquidity of the underlying layer uncertain.According to the conclusion,this paper puts forward three proposals to perfect the conversion mechanism between layers and to lower the investment threshold and perfect the trading system,so as to improve the liquidity of the new third board market in China.