The Relations Between Intraday Liquidity And The Rate Of Return Or Volatility Of Different Kinds Of Stocks

The Chinese stock market was established in 1990 and has developed for 27 years.Obviously,the liquidity is important to the development of the stock market and there are a large number of researches about this topic.Most of researches are in the macro level and uses trading volume and turnover rate to measure the stock liquidity.However,trading volume and turnover are not appropriate to measure the liquidity and different kinds of stocks have different characteristics in the micro level.So this research tried to find a new accurate intraday liquidity index to study the characteristics of different stocks in the micro level.In virtue of the panel data model,some conclusions of this research are as follow.First,intraday liquidity is positively correlated with rate of return and volatility for most kinds of stocks in the bull market.Second,in the bear market,intraday liquidity is still positively correlated with volatility but it is negatively correlated with rate of return.Moreover,the relation between intraday liquidity and rate of return becomes much more complicated in the normal market.To make the study more comprehensive,the study of the whole market was added into the paper with help of vector autoregression model.In the end,a trading strategy was created with the help of the conclusions and got a good rate of return in the test of historical data,which gives the whole research some practical meanings.