Empirical Study of China Stock Market Liquidity Risk Based on VaR

摘要：

This paper researched the measurement of China stock market liquidity risk based on the model of including both bid-ask spread and volume combined with the indicator of turnover ratio and we also introduced the idea of VaR. We finally get the conclusion that the liquidity risk value significantly enlarged after adding the indicator of turnover ratio by studying 30 shares of 8 fields. The investor should fully consider the impact factors of liquidity risk.

关键词： VaR liquidity risk turnover ratio bid-ask spread

作者: ZHENG Xiaodai MOU Yuanchao

作者单位: East China University of science and technology,P.R.China,200237

会议类型: 国际会议

会议名称: 2009 International Conference on Management Science and Engineering(2009管理科学与工程国际会议)

会议地点: 北京

会议语种:英文

页码: 403-407

在线出版日期: 2009-11-01（万方平台首次上网日期，不代表论文的发表时间）