Research On The Impact Of Trading System Reform On Liquidity Of The NEEQ

As an important part of China's multi-level capitalist market,the NEEQ has been committed to providing services for SMEs' off-market financing.Contrary to the rapid growth of the number of listed companies,the problem of insufficient market liquidity has become increasingly serious.In order to solve the problem of insufficient liquidity,the trading system of the NEEQ has been continuously reformed:the market-making trading system and the call auction trading system have successively landed.However,the implementation effect was unsatisfactory,which resulted in the flourish of academic research on the liquidity improvement effect of the NEEQ and the problems in the new systemThis paper first introduces the background of the topic,the research significance,the research methods,and the innovation and deficiency.Then it expounds the trading system and liquidity of the NEEQ and Focuses on the problems existing in the market.Based on the market making system introduced in August 2014 and the call auction system introduced in January 2018,I use both theoretical analysis and practice test to investigate the effect.I use the data(2015-2016)of 684 companies listed before the end of 2014,and the Differences-in-Differences method(DID)to explore the impact of market making on liquidity compared to agreement.In addition,the data(2017-2018)of 3,795 companies listed before the end of 2016 along with the fixed effect model(FE)were used to find out the impact of call auction on liquidity compared to agreement.The horizontal contrast method was used to study the difference in stock liquidity between the market-making enterprises and the call auction enterprises in the same period since 2018.The study found that choosing market making did not increase the liquidity of the company,leading to the "liquidity paradox".Small and medium-sized companies have reduced liquidity due to the market-making transactions.The number of market makers is positively related to the ability of market-making transactions to improve liquidity.The call auction did not improve liquidity in the short term,rather,it reduced the liquidity slightly.The negative impact on the liquidity brought by the call auction system of the innovation layer enterprise is smaller than the basic layer enterprise.Compared with the call auction transactions,the liquidity of the companies that choose market making transactions is higher.At present,the market making trading system is more effective than the call auction trading system in terms of improving the liquidity of the NEEQ.Based on the above findings,this paper throws out the following suggestions:It is necessary to gradually increase the number of market makers and introduce public funds,PE and other non-dealer institutions to enter the NEEQ as soon as possible.Market makers'rights and obligations should be matched,so that market makers' enthusiasm can be improved.Increasing the daily times of call auction and the call auction system will be piloted from the innovation layer enterprise,and the next step of the promotion plan will be combined with the trial effect.At the same time,we should reduce the barriers for investors to enter the market and improve the quality of listed companies.We should improve the regulatory mechanism,enhance information disclosure.Finally,we should gradually introduce continuous auction trading system and establish a hybrid market making trading system.We should improve the liquidity of the NEEQ from four dimensions:institutions,enterprises,investors,and regulatory authorities.