上海股票市场流动性风险与市场风险的极值相关分析

Extremal Dependence between Return Risk and Liquidity Risk:An Analysis for the Shanghai Stock Market

本文运用极值理论,分别用宽度和收益代表流动性风险和市场风险,研究了上海股票市场流动性风险和市场风险的极值相关特征。研究表明:在中国股票市场上,投资者面临的流动性风险具有不对称性,在市场大幅下跌时,流动性风险放大,而在市场大幅上涨时,流动性风险未明显增加。

By using tools from Extreme Value Theory, this paper studies the extremal dependence of market and liquidity risk in the Shanghai Stock Market, the former being measured through the market return and the latter through the width.It has found some evidences of a) asymmetric behavior in the left and right tails of the joint marginal extreme distribution, and b) correlation increases in bear markets, but not in bull markets.