Study On The Impact Of Stratification Adjustment On Liquidity Of NEEQ’s Listed Enterprises

With the construction and improvement of China’s multi-level capital market system,NEEQ as the third national stock exchange,has become an important way for innovative,entrepreneurial and growing small and medium-sized enterprises to achieve listing transactions,reduce financing constraints and obtain equity capital from the capital market.After two expansions in 2012 and 2013,the number of listed companies increased rapidly,but limited by factors,such as high entry criteria,low information transparency,market makers failing to perform their duties and so on,liquidity shortage has been a long-standing problem.In June 27 2016,in order to differentiate the huge market groups,the NEEQ officially established a stratification system.Then,there has undergone two stratification adjustments on May 30,2017 and May 25,2018,respectively.It has important theoretical and practical significance to study the change of liquidity of NEEQ after the introduction of the stratification system.This paper analyzes the background of NEEQ and the stratification system,firstly.Review of liquidity effect in system factors,the influence of the hierarchical system of liquidity.On the basis of related literature,this paper applied the propensity score matching-difference-in-differences model,took the implementation and adjustment of NEEQ stratification system as natural experiments,selected all companies listed on NEEQ from August 2015 to December 2018 as research samples,regarded the month of publication of the stratification list as the disposal time point,with volume,turnover rate,nonzero trading days such as liquidity index is as explained variable,By introducing policy dummy variables and time dummy variables’ cross-multiplication variables as explanatory variables.Then the paper established five experiments from the following three perspectives to test the influence of stratification system on liquidity:the implementation of the stratification system,the upgrade from the basic level to the innovation level,and the downgrade from the innovation level to the basic level.The empirical results show that:(1)the implementation of stratification system has a significant positive impact on the liquidity of listed companies;(2)hierarchical adjustment has an unstable positive impact on the liquidity of listed companies from the basic level to the innovation level;(3)hierarchical adjustment has a significant and significant positive impact on the liquidity of enterprises from the innovation layer down to the basic layer.According to the further research,the robustness tests of kernel matching and nearest neighbor matching methods still support the original conclusion of this paper.The implementation of stratification system and the effect of stratification adjustment on the liquidity of listed enterprises are more significant in market-making enterprises.Finally,combining the results of five experimental models and the robustness test,this paper puts forward policy Suggestions on how to give better play to the effect of stratification system.