| The NEEQ is the foundation of China's multi-level capital market which provides financing channels for innovative,entrepreneurial and growing SMEs.Since its establishment in 2006,NEEQ has expanded its capacity to the whole country in 2013.As of January 15,2018,the number of listed companies on the NEEQ has reached 11,623.However,due to the low listing requirements and high investor threshold,NEEQ's liquidity has been seriously insufficient.Liquidity is an important attribute of the securities market.A market without sufficient liquidity will not be able to give full play to its investment and financing functions.In order to improve the market liquidity of the NEEQ,the Market Maker Rule and the stratification system were introduced.However,due to the small application scope of the market maker rule in China,the lack of experience in market makers and the failure to launch the supporting system after stratification,the market liquidity of the NEEQ still has not reached the ideal level and needs to be further improved.On January 15,2018,all the stocks transferred by agreement in the NEEQ market were changed to the call auction method.This change is a change in the trading system.The difference in the trading system is mainly reflected in the different types of orders,the different market information that the trader can obtain when submitting the order,and the time at which the trade may occur.Market microstructure theory studying the survivability,stability,liquidity,market efficiency and market structure design of financial markets.This theory believes that changes in trading systems will generate new market efficiency,reflected in the market's liquidity,effectiveness,transparency and stability.After the transaction system is changed from agreement transfer to the call auction,what is the impact on the liquidity of the NEEQ market is the main problem of this paper.Due to the late introduction of the call auction mechanism,the current domestic research is relatively blank,so it has theoretical and practical significance for the research on the liquidity of the NEEQ under the call auction mechanismTo study the impact of the introduction of the call auction mechanism on the liquidity of the NEEQ,this paper selects the transaction data of the listed companies in the NEEQ which changed from the mode of agreement transfer to the mode of call auction transfer,considering the impact of trading frequency,depth,tightness and the impact of trading on price,four indicators,namely,non-zero trading days,turnover rate,price dispersion degree and Martin index,are selected to measure the liquidity.Taking January 15th,2018 as the event occurrence day and[-120,120]as the window period,the event research method is adopted to compare the liquidity of stocks before and after the introduction of call auction system through the descriptive statistical analysis and the selection of the panel data model with dummy variables for regressionThe results show that there was no significant change in the market liquidity of the NEEQ after the change of transfer mode.After considering the stratification system,it is found that the liquidity of stocks in the innovation layer was significantly improved,while the stocks in the base layer did not change significantly.Therefore,it is believed that the call auction mechanism is conducive to improving the market liquidity of the NEEQ.The reason why the liquidity of the base layer did not change significantly is that the quality difference between enterprises in the innovation layer and the base layer and the hierarchical management method resulted in the failure to reflect the role of call auction mechanism.Based on this,this paper puts forward some policy recom-mendations on raising the entry threshold of the NEEQ,further improving the bid trading system of the NEEQ and lowering the entry threshold for investors. |
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