The Impact of Stock Market Volatility and Liquidity on the Market Entry Behavior of New Investors: Evidence from Monthly Data in China's A-Share Market

Yunze Xue

doi:10.47297/wspdecWSP2515-797312.20261005

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The Impact of Stock Market Volatility and Liquidity on the Market Entry Behavior of New Investors: Evidence from Monthly Data in China's A-Share Market

Volume 10, Issue 5

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The Impact of Stock Market Volatility and Liquidity on the Market Entry Behavior of New Investors: Evidence from Monthly Data in China's A-Share Market
The Impact of Stock Market Volatility and Liquidity on the Market Entry Behavior of New Investors: Evidence from Monthly Data in China's A-Share Market
Anhui University, School of Internet, Hefei, Anhui, 230039, China
Vol. 10, Issue 5, Pages: 63-69(2026)
Online First：14 August 2026，

Published：30 May 2026
DOI：10.47297/wspdecWSP2515-797312.20261005
Accepted：

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Xue Yunze.The Impact of Stock Market Volatility and Liquidity on the Market Entry Behavior of New Investors: Evidence from Monthly Data in China's A-Share Market[J].Development Economics of China,2026,10(05):63-69.
DOI：

Xue Yunze.The Impact of Stock Market Volatility and Liquidity on the Market Entry Behavior of New Investors: Evidence from Monthly Data in China's A-Share Market[J].Development Economics of China,2026,10(05):63-69. DOI： 10.47297/wspdecWSP2515-797312.20261005.

摘要

Abstract

This study examines the effects of stock market volatility and market liquidity on the market entry behavior of newly registered individual investors in China's A-share market. Using monthly data from June 2018 to December 2025

a dynamic regression model is employed to analyze how market conditions influence investor participation.The results indicate that market liquidity exerts a significant and stable positive effect on new investor entry. Lagged market volatility is positively associated with investor participation in the baseline model

although its significance varies across alternative volatility measures. In addition

the lagged number of newly registered investors remains significantly positive

suggesting the existence of behavioral persistence in investor participation decisions.Overall

the findings suggest that trading activity and market liquidity are more robust determinants of new investor participation than market volatility. This study contributes to the understanding of investor behavior and provides policy implications for improving investor education and promoting the healthy development of capital markets.

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references

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