A Study of the Dynamic Relationship between Liquidity and Return in Chinese Stock Markets
中国股票市场流动性与收益动态关系研究

This study deals with the dynamic relationship between liquidity and return in Chinese stock market. It is found that the character of liquidity changes with the development of Chinese stock market, and also found is the empirical evidence consistent with the notion of "illiquidity premium" in 2002, using such econometric methods as VAR model, Granger causality test etc.