The latest financial crisis has been impressive for strength, impact, duration, and reduced efficacy of the economic and financial policies adopted by the authorities. We use an original information risk model to cont...The latest financial crisis has been impressive for strength, impact, duration, and reduced efficacy of the economic and financial policies adopted by the authorities. We use an original information risk model to contribute to the analysis of the crisis and to suggest some approaches for a possible early diagnosis. Using data referred to the three main financial markets and comparing the latest crisis with the previous one and with long-term quantitative evidence, we find out that the 2007-2009 crisis was very different in the information risk quality. That gap affected the market risk aversion and its equilibrium, reducing the efficacy of the authorities＇ intervention tools mainly based on payoff risk control and efficient market restoration. Since information risk is an endogenous element of the market dynamics that can be independent form contingent levels of market efficiency. Drivers of information risk in the European Markets differed strongly from the US and Japanese ones; that is why some global decisions had low impact while opportunities of local intervention were missed.展开更多
In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price ...In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.展开更多
文摘The latest financial crisis has been impressive for strength, impact, duration, and reduced efficacy of the economic and financial policies adopted by the authorities. We use an original information risk model to contribute to the analysis of the crisis and to suggest some approaches for a possible early diagnosis. Using data referred to the three main financial markets and comparing the latest crisis with the previous one and with long-term quantitative evidence, we find out that the 2007-2009 crisis was very different in the information risk quality. That gap affected the market risk aversion and its equilibrium, reducing the efficacy of the authorities＇ intervention tools mainly based on payoff risk control and efficient market restoration. Since information risk is an endogenous element of the market dynamics that can be independent form contingent levels of market efficiency. Drivers of information risk in the European Markets differed strongly from the US and Japanese ones; that is why some global decisions had low impact while opportunities of local intervention were missed.
文摘In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.
