This paper verifies the illiquidity premium of illiquid stock in China's kinds of special treatment (ST) and particular transfer (PT) corporations and the affecting factors employing the data of illiquid stock transactions in China and the RS study approach. The average illiquidity discount of illiquid stock private transfer or auction (ISPTA) in the kinds of ST and PT corporations is 82.63% from June 12(th) 1999 to June 11(th) 2001, 83.47% from June 12(th) 2001 to June 11(th) 2003, and 82.91% from June 12(th) 1999 to June 11(th) 2003. On. the average, the illiquidity discount from the data in China and are consistent with the results from the similar studies using the China,s data and preponderates over two times of the most in international similar studies using the international data. The characteristics of the 7 factors in the kinds of ST and PT corporations resulting in illiquidity premium are further in focus after rotating with Varimax with Kaiser Normalization. Size Factor, integrates the information of the, total common stocks, the total illiquid stocks, the fixed as-sets, the fixed assets depreciation, the total assets, and the major business income. Characteristics of Transaction Factor integrates the information of the transaction volume, the transaction money, the ratio of per ISPTA volume and the total illiquid stocks, and the trade method, presenting auction or private transfer. Working. Capital Factor integrates the information of the current liabilities, the short loans, and the floating assets. Yield Factor integrates the information of the return on asset, the earnings per share, the income taxes, and the ratio of the total illiquid stocks and the total common stocks. Net Asset & History Factor integrates the information of the net assets per share and the month age since IPO. Stock Dividend Factor expresses the information of the ratio of stock dividend. Cash Dividend Factor expresses the information of the cash dividend. Upon the component score cross sectional multivariable regression analysis, all the extracted factors rotated are significant for the illiquidity discount.
