A Study On Liquidity Premium Of NEEQ

NEEQ is an OTC market in China.It provides financing channels for thousands of small and medium-sized enterprises.It meets the needs of investors with different risk preferences.It is helpful to the adjustment the economic structure of China.Since the expansion of NEEQ in 2014,the scale of the market has developed rapidly.However,the lack of liquidity has hindered the development of NEEQ.Firstly,This paper expounds the development course,the threshold,the trading system and the stratification system of NEEQ.Then,this paper use the trading data of 160 shares for 30 months in NEEQ,and divide the 160 stocks into four groups according to the exchange rate and the liquidity index of each stock.In order to avoid the pseudo regression.This paper use the ADF method to test the stability of each group of data.Lastly,this paper use two estimation methods of OLS and GMM to test the liquidity premium effect of NEEQ through CAPM model test,FAMA-French three factor model test and LACAPM model test with adding illiquidity factor.The empirical results show that,in the CAPM model,the FAMA-French three factor model and the LACAPM model,the coefficient? decreases with the decrease of turnover and liquidity.And there is a liquidity premium effect in NEEQ.But this effect is based on the LACAPM model of LQ.What more,the coefficient ? of is still significant,and it increases with the decrease of liquidity.It shows that the smaller the liquidity of the portfolio is,the greater the market variation of single asset is.Combined with the empirical conclusion,aiming at improving the liquidity of NEEQ,this paper points out that companies of NEEQ should improve its liquidity,such as implementing the selective layer division as soon as possible,managing the different levels of enterprises,reducing the threshold of investors,introducing the auction trading system and so on.