Journal of Shanghai Jiao Tong University

Journal of Shanghai Jiaotong University

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Study on the Liquidity Value of China’s Block Trade

ZHANG Dan1,YANG Chaojun1，XIA Qiushuang2，ZHAO Zhanchao3   

  1. (1.Antai College of Economics and Management,　Shanghai Jiaotong University,　Shanghai 200052, China;2.Industrial and Commercial Bank of China of Zhengzhou Jingsan Road Branch, Zhengzhou 450011,China; 3.Guangdong Development Bank of Zhengzhou Branch, Zhengzhou 450008, China)
  • Received:1900-01-01 Revised:1900-01-01 Online:2010-03-30 Published:2010-03-30

Abstract: From the view of the concept of liquidity value, this article studied the impact of liquidity demand on the price of block trade stocks, calculated the liquidity discount level of block trade stocks and analyzed the determinative factors of liquidity value. At the same time, it examined the influence of the new rule .The results suggest that the average liquidity discount level is 5.111%; stock market liquidity and stock price volatility affect the liquidity value of block trade stocks remarkably; the new rule remarkably adds the liquidity discount level,and the average level rises from 4.322% to 5.541%. From the view of the concept of liquidity value, this article studied the impact of liquidity demand on the price of block trade stocks, calculated the liquidity discount level of block trade stocks and analyzed the determinative factors of liquidity value. At the same time, it examined the influence of the new rule .The results suggest that the average liquidity discount level is 5.111%; stock market liquidity and stock price volatility affect the liquidity value of block trade stocks remarkably; the new rule remarkably adds the liquidity discount level,and the average level rises from 4.322% to 5.541%.