有关中国股票扣减率的研究

Risk measurement of Chinese stocks with VaR

利用风险价值(VaR)的基本原理,结合中国股票市场的特点,包括对个股存在日涨跌停板限制,异方差现象明显和流动性假象等,建立了一个同时考虑了个股价格风险和流动性风险的风险度量指标———扣减率模型,然后对我国股票市场的数据进行了实证分析.实证分析的结果发现,中国股票市场上大部份股票在波动性和流动性方面表现比较相似,没有明显的层次之分,此外,股票在波动性和流动性方面表现不太稳定,市场上不存在一批市场表现稳定突出的蓝筹股.

Based on the fundamental concept of Value-at-Risk（VaR）and considering the characteristics of Chinese stock market, a model to measure price risk and liquidity risk together is set up in this paper. Then, with this model and sample data of Chinese stock market used, price risk and liquidity risk of some individual stocks are measured. The results show volatility and liquidity of most Chinese stocks are similar and unstable. There does not exist any blue chip stocks in Chinese stock market.