Empirical Study And Analysis On The Liquidity Influencing Factors And Liquidity Premium Of Securities Market

With the financial market development in the world, financial crash often appeared because financial market liquidity risk. Some securities market liquidity had severity problems, So the securities liquidity has been attended by many economist and financial scholar. In china, financial market had a large changes and the split shares structure reform will be finished, more and more institution come to be main investor in china stock market, the securities liquidity and liquidity risk, liquidity premium also be attached importantly. Many scholars also have studied Chinese stock market liquidity so much. Here, we will do some work for study liquidity and liquidity premium.This paper empirically study and analysis the liquidity influencing factors and liquidity premium of securities market. Firstly, we generally review the liquidities concepts, characteristics and measures. We summarize the liquidity measures up five types for transaction price, transaction amount, transaction price and amount, transaction time, and others by its price, amount and time, and we distinguish the liquidity measure mode adapted china stock market. Then, according to the different base of study liquidity theory, we also divide the liquidity theory to base on market microstructure and behavior financial liquidity theory and model, and base on different exchange mechanism divide to the quote and order mechanism liquidity theory and mode. We also discuss the liquidity premium and the liquidity value and the relationship between the liquidity risk and return.Secondly, We summaries liquidity study and status of china stock market, compare the different liquidity between different Shanghai and Shenzheng stock market and different period, also compare Chinese stock market liquidity with west developed securities market liquidity. We point out the Chinese stock market liquidity character, status and trend. Especially in china 2005 the split shares structure reform background, this paper try to analyse the liquidity premium of non-floating shares.Thirdly, the paper concludes the many influencing factors to impact the market liquidity, individual asset liquidity, and portfolio liquidity according to the liquidity character, different objects, different areas, and different influencing period, and particular classify and analysis. Base on the total influencing factors, the paper divide them into two type basic influencing factors: external liquidity influencing factor variable and internal liquidity influencing factor variable. We also analyzes the relationship between the external liquidity influencing factor variable and the internal liquidity influencing factor variable. analyzes how the external liquidity influencing factor variable and internal liquidity influencing factor variable impact the market liquidity, individual asset liquidity and portfolio liquidity, and give out their work mechanism.Finally, the paper empirically study that china the split shares structure reform as external liquidity influencing factor variable induce some listed company share liquidity changes and the securities company borrowing the other company to list as the internal liquidity influencing factor hugely induce these list company liquidity changes. Then we empirically analyze these variables work mechanism. We conclude all the influencing factors impact liquidity by the way influencing the investor ideas and behavior and investor behavior impacts the relation of liquidity demand and supply. The investor compages and investing behavior decide the market liquidity, individual asset liquidity and portfolio liquidity. Otherwise, in china 2005 the split shares structure reform background, this paper try to use ANN technique to analyze and test the value of the liquidity about non-floating shares, and empirical study the mainly factors to affect the value of liquidity of non-floating shares.