Examination And Comparative Study On The Liquidity Premium Effect Of Chinese NEEQ Market And GEM Market

From December 10 to 12,2019,the Central Economic Work Conference was held in Beijing.The meeting proposed that next year will continue to "accelerate the reform of the financial system,improve the basic system of the capital market,improve the quality of listed companies,improve the exit mechanism,and steadily promote the reform of the Growth Enterprise Board(GEM)and the National Equities Exchange and Quotations(NEEQ)." It can be seen that the focus of chinese capital market reform is on the GEM and the NEEQ market.Both the GEM and the NEEQ belong to the science and technology capital market,and provide capital market services for the science and technology SMEs.The companies listed on the GEM and the companies listed on the NEEQ are in the same political environment and face the same taxation mechanism and macro environment.However,the level of liquidity between the two markets is significantly different.Whether the level of stock liquidity affects stock prices involves the issue of liquidity premium.In view of the similarity between the GEM listed companies and the NEEQ listed companies(market-making market),this article will examine and comparatively analyze the liquidity premium effect of the NEEQ market-making stock and the GEM stock.This has certain significance for regulating market liquidity and investor investment decisions.This article first sorts out the current status of domestic and foreign research on the theory of liquidity premium,and analyzes the existing problems and shortcomings of the research results.Secondly,based on the liquidity premium theory,analyze the operation status of the NEEQ market and the GEM market,and then give the improved liquidity measurement comprehensive index ILLIQ.Finally,the empirical part selects the sample time period from 2016 to2019.After strict sample screening on the constituent stocks of the NEEQ market making index and the GEM Index,the stock daily market panel data is obtained.After the unit root test is performed on the unbalanced panel data,the unbalanced panel model is constructed,and the existence test of the liquidity premium of the NEEQ market making stocks and the GEM stocks in eachindividual year and the full sample period is separately conducted.Then use the PVAR model to continue the empirical test.After passing the model stability test and Granger test,conduct impulse response analysis and variance decomposition to explore the dynamic impact relationship between the expected return and the illiquidity ratio of stocks and their lag items.The empirical results of this paper show that the NEEQ market-making stocks have significant liquidity premium effects and scale effects in the entire sample period 2016-2019 and in each independent year.Only in 2018 and the full sample period there is a value effect.Positive feedback trading exists in the market.The expected return and the illiquidity ratio of stocks are Granger's reasons for each other.The GEM stocks only had a liquidity premium effect in2016 and 2017.The scale effect only began in 2019.There is no value effect during the sample period.The market also has positive feedback trading behavior.The illiquidity ratio of stocks is the one-way Granger reason for expected returns.Combined with the empirical conclusions of this paper,it is recommended that the government improve the degree and quality of information disclosure to increase the transparency of the NEEQ market and reduce information asymmetry.It is recommended that the government develop institutional investors and improve investor structure to reduce speculation in the GEM market and enhance market effectiveness.