| Since Keynes first put forward the concept of liquidity in 1930,domestic and foreign scholars has never stopped research on asset liquidity.The concept of asset liquidity has changed from the initial fuzzy and unquantifiable factors to the current quantifiable and traceable indicators,the research scope of asset liquidity has also expanded from the original field to various fields of finance research.The research on securities market liquidity started from Demsetz(1968),who used bid-ask spread to refer to the liquidity of the stock,which started the era of quantitative research on asset liquidity.Demsetz analyzed the market liquidity from the perspective of market makers.He believed that bid-ask spread is the price compensation that market makers get for providing the market with the environment of instant transaction,namely liquidity.Then,different scholars described and analyzed liquidity from different perspectives.It was not until Harris summarized and proposed four dimensions of liquidity in 1990 that liquidity measurement standards and research framework were consistent.The research on the relationship between asset liquidity status and its return rate has also experienced more than 20 years,scholars at home and abroad have proved that liquidity premium exists in stock markets all over the world by various methods and from various angles.On the other hand,scholars have also introduced the liquidity status of assets into the asset pricing process,and studied the influence of liquidity on its return rate.This paper is inspired by the actual operation of the market,especially the comparison between the bull market from 2014 to June 2015 and the market from the beginning of 2016 to the end of 2018,the liquidity level of China's stock market has changed greatly in these two periods.Based on previous studies,especially the Amihud(2002)illiquidity index,this paper deeply considered and analyzed,and proposed a new liquidity measurement method,that is divide the amplitude of the stock over a period by the amount of the stock traded over that period.The newly constructed liquidity measurement method in this paper not only covers the four dimensions of liquidity proposed by Harris,but also is more effective than the traditional measurement indicators(turnover rate,turnover and Amihud illiquidity indicators)in the actual application process.This paper uses the newly constructed index to verify not only the obvious liquidity premium phenomenon in China's stock market,but also the important role of liquidity factor in the asset pricing process.In addition,it is also found that the degree of liquidity premium of assets is closely related to its size.The smaller the stock's scale,the higher the liquidity risk compensation.In addition,this paper also found an interesting phenomenon.The yield of a stock is related not only to its liquidity position in the current month,but also to its liquidity position in the previous month.This paper believes that this is related to the investment decisions and behaviors of investors.Some investors find the real value of a company or industry ahead of the market,they complete the transaction before the market changes obviously,and then start to lock up positions and wait for the market to discover the value of the company or industry.Due to the lockup behavior of investors,the stock liquidity of the company or industry has declined obviously,and as its value is gradually discovered by the market,its yield also starts to increase gradually,and investors start to sell the target after realizing its expected value,so the market liquidity returns to normal.On the one hand,this paper enriches the stock liquidity tracking index;on the other hand,it tests the liquidity premium phenomenon in China's stock market and find the factors that influencing the degree of liquidity premium.In addition,this paper also proposed the duration of liquidity risk premium,which has abundant significance. |
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