关键词: 股票流动性 , 企业创新 , 匹配 , 倍差法

Abstract: In this paper, we use the transaction data and financial report data of Ashare listed companies and control the heterogeneity of enterprises through multiple matching methods to analyze the influence of stock liquidity on enterprise innovation. Empirical result shows that enterprise with good stock liquidity is more innovative. Margin trading enhances stock liquidity but does not affect enterprise innovation activities thus providing ideal quasinatural experiment. Improvement of stock liquidity enhances firm innovation. We identify two possible mechanisms through which liquidity enhances innovation. The first is liquidity helps alleviate financing constraints and raise fund for R&D. The second is attracting higher presence of mutual funds that actively monitor and improves efficiency of R&D. This paper provides empirical evidence to promote enterprise innovation through development of capital market.

Key words: stock liquidity , firm innovation , matching , difference in difference