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中国管理科学

中国管理科学 ›› 2011, Vol. 19 ›› Issue (2): 1-9.

• 论文 •    下一篇

股票市场流动性风险计量模型研究

王明涛, 庄雅明   

  1. 上海财经大学金融学院, 上海 200433
  • 收稿日期:2010-06-26 修回日期:2011-01-14 出版日期:2011-04-30 发布日期:2011-04-30
  • 作者简介:王明涛(1964- ),男(汉族),河南偃师人,上海财经大学金融学院副教授,博士,研究方向:金融工程与风险管理。
  • 基金资助:

    上海财经大学211第3期项目资助(2007330060)

New Models for Measuring the Liquidity Risk of Stocks

WANG Ming-tao, ZHUANG Ya-ming   

  1. School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China
  • Received:2010-06-26 Revised:2011-01-14 Online:2011-04-30 Published:2011-04-30

PDF (PC)

2096

被引次数

15

摘要： 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。

关键词: 流动性风险, 目标流动性, 流动性不足, 计量模型

Abstract: 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 40stocks'in Shanghai Stock Market.The results show that the models can measure liquidity risk of stocks scientifically.

Key words: target liquidity, liquidity shortfall, liquidity risk, model for measuring liquidity risk

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