Empirical Research on Liquidity Black Hole Effect of A-share Market

The leverage level, interbank rate, index futures and market sentiments are the factors that influence A-share market liquidity. Then the relationship among variables is studied by using vector autoregressive model, Granger causality test and impulse response function. The results show that the influence of each variable on liquidity is not sustained, but the trading volume has negative effect on liquidity. As a result, the "liquidity black hole" effect of A-shares was triggered during the market crash period. At this time, the rescue measures aimed at increasing trading volumes might not be effective.