The Research of Liquidity Risk Measurements in China Stock Market

被引：2

作者：

Li, Lili ^{[1
]}

Feng, Yuhui ^{[1
]}

机构：

[1] Qingdao Univ, Econ Coll, Qingdao 266071, Peoples R China

来源：

FIRST INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT | 2013年 / 17卷

关键词：

Liquidity; Liquidity Risk; Stock Market; Value at Risk;

D O I：

10.1016/j.procs.2013.05.084

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper; the theories of L_VaR and La_VaR tire used to describe the liquidity of stocks and the liquidity risk of the stock market. In the empirical analysis, six stocks are selected from each industry which makes the total samples. The data from 2002 to 2012 are used to construct these two indicators and the results are compared. Through the comparative study, the conclusion is that despite the difference in characterizations of liquidity risk, the results of two indicators are consistent. To evaluate the liquidity risk of the stock market; various indicators should be comprehensively analyzed in order to reach a more reliable conclusion. (C) 2013 The Authors. Published by Elsevier B.V.

引用

页码：647 / 655

页数：9

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