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股票投资组合流动性风险及其度量——基于上海证券交易所样本股的实证研究 被引量:2

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摘要 本文从投资者实际投资时所面临的价格冲击入手,提出了流动性风险的概念,并定义了两个流动性风险的度量指标Q和Qvar。最后利用上海证券交易所样本股的日交易数据进行了实证研究。
作者 朱小斌
出处 《统计与决策》 CSSCI 北大核心 2006年第10期108-110,共3页 Statistics & Decision
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