中小企业板与主板流动性比较

Research on liquidity comparison of SME board and the motherboard

流动性是市场微观结构的重要组成部分,通过调整的Hui-Heubel流动性比率模型对主板及中小企业板的流动性进行实证分析,得出了主板相对于中小企业板有更高的流动性,并从机构投资者的比例、市场规模、公司规模和收益率的波动方面对产生差异的原因进行了分析。在此基础上从交易机制等方面对改善中小企业板流动性提出了建议。

Liquidity is an important component of the market microstructure. This paper makes an empirical analysis of motherboard and SME board by adjusted Hui-Heubel Model.The analysis reviews that the motherboard has more liquidity than SME board.Then we explain the result from the proportion of institutional investors,the size of the market,the size of the company and the fluctuation of yield.On the basis of the reasons,we give some proposals to improve the liquidity of SME board.