Research On Portfolio Based On Liquidity Measurement Of A-Share Market

Stock liquidity is an important factor in the formation of stock prices.The liquidity measurement problem plays an important guiding role in the practice of stock market.The traditional capital asset pricing theory does not incorporate liquidity into the study.The assumption is that the market is in a frictionless state and there is no transaction cost.Then the stock liquidity is infinite,but not in the actual market operation.The purpose of this study is to reveal the nature of liquidity,analyze the relationship between liquidity and stocks,investment portfolios,and further enrich the research theory of liquidity measurement and asset pricing,and provide some reference for stock market regulators and investors.On the basis of combing the previous research on stock liquidity measurement,this paper constructs a new stock liquidity measurement method by understanding the definition of existing liquidity,which is based on the four dimensions of stock liquidity elasticity,width,depth and immediacy.The agent index,construct a comprehensive evaluation sequence,use factor analysis method to eliminate subjective factors,comprehensively extract the interpretation value of the sequence value to form the stock liquidity factor L,and measure the stock liquidity by calculating the L score with its score.Good or bad.Based on the new stock liquidity measurement method,the liquidity factor L of 15 A-share samples in CSI 300 can be obtained,and the A-share sample is divided into high-liquidity group(7 stock samples)by the liquidity factor L score.The median array(1 stock sample)and the low liquidity group(7 stock samples),and then the liquidity factor L of each group of sample stocks is included in the classic portfolio return analysis model for comparative regression analysis.Compare and analyze the impact of stock liquidity on the portfolio.The empirical results show that the capital asset pricing model based on the liquidity comprehensive factor correction is effective.The F-F model based on liquidity adjustment can explain the excess return rate of stocks.The liquidity factor L has a positive impact on the stock's expected return rate,but the coefficient of action.There was no significant correlation between size and fluidity factor score size.Finally,based on theoretical analysis and empirical analysis,this paper puts forward the suggestion of investment portfolio and the corresponding improvement countermeasures,and summarizes the research of this paper.The research on the next step is from the aspects of index selection,model construction and application of analysis results.The outlook was made.