Research On The Influence Of Stock Liquidity To Yield In China Growth Enterprice Market

As a new security market in China, GEM（short for Growth Enterprise Market）hasbeen in wide concern since the establishment at October30,2009in Shenzhen stockexchange market. The GEM is an important financing platform for the development ofhigh growth enterprises. It’s an important guarantee for the establishment ofindependent innovation oriented country and multi-level capital market to improveChina’s competitiveness. The healthy development of the GEM will promote thedevelopment of China’s multi-level capital market system, stimulate the vitality of thesecurities market and improve the efficiency of market operation, so as to promote thelong-term, high efficiency, stable development of the securities market. As an importantindex to measure the market efficiency, liquidity is the guarantee for investors to tradeeach other. Rate of return is one of the important standard to measure the stock price,also an important index for investors to choose investment direction. The theory ofliquidity premium is focused on the relationship between liquidity and rate of return andprovides a new direction for the research of return. Based on the theory, this paperstudies the effect of liquidity to the rate of return in the GEM, which will enrich anddevelop the theory of liquidity premium in China.There are five parts in the paper. At first, The introduction part introduces thebackground and significance of the research, summarizes the research situation in bothdomestic and foreign on the relation of returen and liquidity, and points out the contents,methods and innovative points of this paper; Then the second part summarizes on thestock liquidity and returen, and analyzes the influence factors to liquidity and returenrespectively. the theory of liquidity premium is introduced in this part. The third partintroduces the background and process of establishing GEM in China, analyses thepresent situation and finds that volatility of CEM’s liquidity is hudge through the anaylsis of GEM’s liquidity; The fourth part analysises the influence of liquidity to rateof return, and chooses the turnover rate and illiquidity ratio as the explanatory variable,the company size, the rate of return on net assets and circulation ratio as the controlvariable, and establishes the varying coefficient regression models of stock returns. Theresult shows that liquidity has a positive correlated relationship to rate of return in GEMboth in fall or rise of market; At last, according to the empirical conclusion and thepresent situation of the GEM market, this part puts up some advices to stabilize themarket liquidity to promote the development of the GEM.