股票市场流动性风险计量模型研究

New Models for Measuring the Liquidity Risk of Stocks

本文通过对流动性风险本质属性的探讨,提出了目标流动性的概念,建立了两个新的流动性风险计量模型模型,一是用流动性不足的均值测度流动性风险模型;一是包含流动性不足及其波动性的流动性风险综合测度模型。并以上海证券交易所上市的148只A股为样本进行实证检验,结果表明该模型能够科学计量股票流动性风险。

This paper first probes the intrinsic characteristics of liquidity risk of stock and puts forward a concept of target liquidity.Two new models for measuring the liquidity risk of stocks are set up by using risk measuring theory.One is using the expectation of liquidity shortfall to target liquidity to measure liquidity risk of stocks.The other is a synthetic measuring model for liquidity risk of stocks by combining the liquidity shortfall with its volatility.We test the models by employing a sample of the listed 40 stocks＇ in Shanghai Stock Market.The results show that the models can measure liquidity risk of stocks scientifically.