摘要
运用BDSS模型对我国沪深300股指期货合约2010年6月1日至2012年4月23日的流动性风险进行实证检验,结果发现,收益率序列并不符合正态假定,具有尖峰厚尾特征;风险测度检验发现流动性风险占到总市场风险的一半以上,在忽略了流动性风险情况下,将会严重低估总体投资风险。
Using the BDSS model to test the liquidity risk for the HS300 futures contracts from June 1,2010 to April 23,2012. From the results,we find the return series does not meet the normality assumption, it has a fat tail characteristics. The results of risk measures show that the liquidity risk account for more than half of the total market risk. It will seriously underestimate the overall investment risk under ignoring the liquidity risk.
出处
《青岛大学学报（自然科学版）》
CAS
2012年第4期95-98,共4页
Journal of Qingdao University(Natural Science Edition)
基金
国家自然科学基金资助项目(70971071)
