基于VaR的股票内生流动性风险实证研究

Empirical research for the endogenous liquidity risk of stock based on VaR

分析了VaR模型的基本原理,引入噪声信号模拟投资者的行为,建立并利用VaR模型对单只股票进行分析,得到了单只股票的内生流动性风险在风险价值方法下的一种度量.拓展到投资者的过度自信条件下,对模型进行了推广和实证分析,为投资者规避风险提供了理论参考.

The basic principle of the VaR model is analyzed and the behaviors of investors are simulated with the noise-signal,and then a kind of measure for the endogenous liquidity risk with the value-at-risk are obtained by establishing and using the VaR model to analyze one single stock.The model is also expanded and verified under the condition of investors with overconfidence.The theoretical reference to avoid risks for investors are provided.