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