A Study On The Liquidity Of Chinese Stock Market

First, this paper summed up the literature about the definition of liquidity and theinfluencing factors of liquidity, reviewed microcosmic and macro effect on liquidity,analyzes the relation of liquidity and affection.Then, consider multiple attributes of the liquidity, according to the fourdimensions of liquidity(Tightness, Resiliency and Immediacy, Depth, Width), thispaper induction liquidity measure, and then analyzes the internality relation of eachmeasure methods, indicate the defect of single dimension. So this paper chooses priceand volume combination method to measure the stock market liquidity.After general analysis of Chinese stock market, through analyzes the diversityand linkage between the liquidity in Shanghai and Shenzhen stock market, haveobjective analysis of the liquidity of Chinese stock market. Then with the theory offinancial policy, makes a primary exploration of the influence mechanism between theliquidity and important financial policies, and using “Event Study” research of theinfluence of financial policy to liquidity in Chinese stock market. Last, this paperresearches the impact of split-share structure reform on the liquidity in Shanghai andShenzhen stock market.