The impact of capital market opening on China's stock liquidity

Abstract

Taking the listed companies in Shanghai stock market from 2011 to 2017 and the listed companies in Shenzhen stock market from 2013 to 2019 as samples, this paper uses the ratio of the absolute value of daily return to the daily turnover to measure the stock liquidity, and uses the double difference method to test whether the capital market opening has a significant impact on the liquidity of China's stock market. The results show that the opening of the capital market is conducive to improving the liquidity of the stock market, and the effect of Shenzhen stock market is more obvious.