The Research On The Liquidity Premium Of Chinese Stock Market

The finance crisis since 2008 and the resolution of Chinese stock market has made most of Chinese thought carefully of the stock market.The liquidity is the most important factor of stock market.As for stocks,the more badly liquidity of stock market will cause the more expecting return,that is,the liquidity premium.This paper researches the liquidity premium of Chinese stock market.It has three parts.The first part summarizes the theoretic and practical research home and abroad. The second part builds a new and general index through the factor analysis.The third part uses the data from June,2005 to June,2009 of 38 stocks and the panel data model to research the liquidity premium of Chinese stock market.Also,the paper has researched the liquidity premium during the different industries,market stages,and so on.And bases on the researches,the paper makes some conclusions.First,the liquidity premium apprently exsists.Second,some factors don't affect the liquidity premium,such as E/P.Third,different industries and market stages will effect the liquidity premium.