Research On The Relationship Between Liquidity,Financial Status And Stock Return Rate

In recent years,with the continuous development of China’s economy,China’s stock market is also maturing.Many scholars,investors,listed companies and stock market regulators are gradually studying the factors affecting stock returns.The study of the factors affecting the rate of return is of great practical significance.Although China’s stock market is constantly developing,it has a certain gap with the stock market of developed countries.The theory that the stock market in developed countries has been proved is not applicable in China’s stock market.In addition,because the corporate governance model of our company and the professionalism of investors are far from the developed countries in Europe and America,China’s stock market has its own characteristics.In view of this,this paper selects representative variables from two aspects of financial status and stock liquidity to explore its impact on stock returns.Firstly,the representative indicators of financial status and stock liquidity are selected from the macro level and the micro level.Based on the financial status and stock liquidity,the variable coefficient panel DEA cross-efficiency model is constructed to explore the impact mechanism on stock return rate from the medium and long-term perspective..Through empirical research,DEA cross-efficiency can effectively explain the positive impact of financial status on stock returns,and the impact of the DEA cross-efficiency of listed commercial banks on the financial situation is consistent with the impact on stock returns.In terms of liquidity,the impact of market depth on stock returns has a negative effect,that is,China’s commercial banking sector has a significant liquidity premium.The impact of spreads,market resilience and trading speed on stock returns is positive and negative,indicating that spreads,market resilience and trading speed are related to market participants’ preferences.Secondly,from the short-term perspective,the mechanism of stock return rate is studied,the non-liquidity index and turnover rate are selected to describe stock liquidity,and the heteroskedasticity of short-term data is considered.The panelGARCH model with stock liquidity as exogenous variable is constructed.(L-PaGARCH(1,1)),through the empirical discovery of the GEM daily data,stock liquidity reduces the fluctuation of stock returns in the GEM,and the L-PaGARCH(1,1)model effectively explains The effect of stock liquidity on stock returns.In addition,compared with the SME board and the Shenzhen Stock Exchange Index,the GEM stock return rate is more affected by the liquidity.Finally,based on the L-PaGARCH(1,1)model,the fluctuation of the stock market’s stock returns is predicted.The results show that the L-PaGARCH(1,1)model is more predictive than the panel GARCH model without liquidity.Smaller and more accurate.