Securities Investment Funds and Stock Liquidity: Based on Panel Data of China's A-share Market

The vitality of securities market is liquidity, and as one of the important kind of market participants, securities investment fund should have significant influence on market liquidity. Market liquidity is measured against the turnover rate, and the panel data of China A-share market between the years of 2003 and 2008 are utilized in the present study. This article examined how securities investment fund holdings influenced the fluidity as well as its liquidity preference. The results are as followings: 1) The higher the shareholding is, the worse the liquidity is; 2) The stocks with bad liquidity are preferred by the fund; 3) the bigger the company is, the better the liquidity is, and, the fund investments tend to hold a considerable number of stocks with low asset-liability ratio and low P/E ratio.