Translated Abstract
Since 2006, with the advantages of low listing threshold and high audit efficiency, the NEEQ market in China has played an important role in solving capital-raising problems of many innovative enterprises. After finishing nationwide expansion in 2013 and the introduction of market maker system in August 2014, the NEEQ market was on the threshold of important system innovation and development. However, as an important part of China＇s capital market, the problem of lack of liquidity has become the focus of the market. Under this background, deeply analyzing it is of its liquidity risk features of NEEQ market and putting forward reasonable management suggestions are meaningful to ensure the further development and system reform.
Based on the relevant theory of liquidity influencing factors, firstly, this paper defined the connotation of relevant concepts, and introduced the measurement methods of liquidity and the status of the market maker system in domestic and foreign securities markets. Secondly, by constructing liquidity indicators, it conducted horizontal and vertical comparative analysis on the liquidity of NEEQ market; Then, using the daily transaction data from 2006.1.1 to 2017.12.31, the paper established panel model to empirically test whether the introduction of market-making system significantly improves market liquidity; Finally, it developed GARCH model to estimate liquidity volatility of sample stocks by comparison with the main board market and other security markets.
The study showed that first, from the panel model regression results between dummy variable and turnover, the introduction of the market-making system had an important effect on the stock liquidity; Second, regression results between makers and turnover showed that the increase in the number of market makers can increase the level of liquidity; Third, the GARCH model results showed that the liquidity of the NEEQ market is obviously insufficient compared with other markets, and there is a certain correlation between stock liquidity and the qualifications, industries, and trading methods of listed companies. Therefore, the NEEQ market should continue to deepen reforms and further increase the market＇s liquidity level.
Translated Keyword
[GARCH Model, Liquidity Risk, Market Maker System, NEEQ Market]
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