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The Distribution Characters and the Determinants of Liquidity in Chinese A-Share Market

Author: ShiYu
Tutor: RenDa
School: Tianjin University
Course: Management Science and Engineering
Keywords: Liquidity Distribution Character Determinants Panel Data
CLC: F832.51
Type: Master's thesis
Year: 2008
Downloads: 159
Quote: 2
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Abstract


Liquidity is one of basic core proxies for measuring the quality of market, and it is also essential to the stock market. How to measure and calculate the risk of liquidity and which main determinants influence the liquidity of market need deep study, which is very important for investors and market supervisor. This is the start point that why I write this paper.This paper aims: 1. To study the distribution characters of liquidity. And 2. To study the pattern of intraday liquidity. And 3. To study the relationship between the liquidity and the determinants. And 4. To study the degree of effect of great policy or event on liquidity. This paper adopts bid-ask spread, market depth and market impact cost as the proxies for liquidity.Based on the thinking of concept, theory, methodology and empirical research, firstly we review the liquidity concept, the measurement of liquidity, and select the representative proxies for liquidity, and then we use the Mathematical Statistics Method for the analysis of distribution characters and pattern of intraday liquidity. The results of empirical research: 1.Bid-ask spread and market depth do not satisfy Normal, Exponential, Poisson, Gamma, Beta, Weibull and Lognormal distribution.2.The market impact cost is also does not satisfy Exponential, Poisson, Gamma, Weibull distribution, but cannot refuse satisfying Normal distribution, and Beta distribution is more fit the market impact cost proxy than the Lognormal distribution though that the two distributions fit the mic proxy very well. 3. The intraday bid-ask spread and market impact cost show Lshape pattern but the market depth show Mshape pattern.Secondly, this paper analysis the determinants of liquidity in theory, and then introduces the panel data model, and the last we use entity fixed effects regression model for studying the relationship between the liquidity and the determinants, The conclusions as follows: 1.The price of stocks, the volatility of price and the trading activity are the remarkable determinants. 2. The correlation between stock price, price volatility and liquidity is positive, but the trading activity and liquidity is negative. 3. Through adding dummy variable to the model, we find that some of the important policy or events can influence the liquidity of market for a long time. 4. The influence of the stock price trend on liquidity is not remarkable. The conclusions of this paper can supply some theoretical basis for the calculation of liquidity risk, provide information for market supervisors to constitute correlative policy or system, and offer reference for investors to make further invest decision.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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