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2018 Volume 43 Issue 5
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GUO Wen-xin, WU Wen-feng. On Turnover and Liquidity Analysis of China and US Stock Market[J]. Journal of Southwest China Normal University(Natural Science Edition), 2018, 43(5): 64-68. doi: 10.13718/j.cnki.xsxb.2018.05.011
Citation: GUO Wen-xin, WU Wen-feng. On Turnover and Liquidity Analysis of China and US Stock Market[J]. Journal of Southwest China Normal University(Natural Science Edition), 2018, 43(5): 64-68. doi: 10.13718/j.cnki.xsxb.2018.05.011
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On Turnover and Liquidity Analysis of China and US Stock Market

  • Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200030, China

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  • Received Date: 20/03/2017
  • Turnover is generally used to measure liquidity in China and always in high level in China stock market. This paper compares liquidity of China and US stock market from the perspectives of market depth and width through 10-year historical data from July 2005 to June 2015 and finds out that liquidity of China stock market is indeed better than that of US stock market. It would be better to increase dividend ratio and refrain speculation to adjust this high liquidity resulted by excessive pursuit of short-term capital gain. But also, turnover has low interpretation efficiency of liquidity. For China Stock Market, Martin Index, adjusted by price and shares outstanding, and Execution Cost can explain stock return better, making them more suitable liquidity depth and width indicators.
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On Turnover and Liquidity Analysis of China and US Stock Market

  • Received Date: 20/03/2017

Abstract: Turnover is generally used to measure liquidity in China and always in high level in China stock market. This paper compares liquidity of China and US stock market from the perspectives of market depth and width through 10-year historical data from July 2005 to June 2015 and finds out that liquidity of China stock market is indeed better than that of US stock market. It would be better to increase dividend ratio and refrain speculation to adjust this high liquidity resulted by excessive pursuit of short-term capital gain. But also, turnover has low interpretation efficiency of liquidity. For China Stock Market, Martin Index, adjusted by price and shares outstanding, and Execution Cost can explain stock return better, making them more suitable liquidity depth and width indicators.

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