The Research of Liquidity Risk Measurements in China Stock Market | Zendy

Lili Li | Zendy; Yuhui Feng | Zendy

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The Research of Liquidity Risk Measurements in China Stock Market

Author(s) -

Lili Li,

Yuhui Feng

Publication year - 2013

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2013.05.084

Subject(s) - market liquidity , stock market , computer science , stock (firearms) , order (exchange) , market risk , liquidity risk , china , econometrics , business , financial economics , economics , finance , materials science , political science , geography , context (archaeology) , archaeology , law , metallurgy

In this paper, t he theories of L_VaR and La_VaR are used t o describe the liquidit y of st ocks and the liquidity risk of the stock market. In the empirical analysis, six stocks are select ed from each indust ry which makes the tot al samples. The data from 2002 to 2012 are used to construct these t wo indicators and t he result s are compared. Through t he comparat ive st udy, the conclusion is that despit e the difference in charact erizations of liquidit y risk, the result s of t wo indicators are consist ent. To evaluate the liquidity risk of the stock mark et, various indicat ors should be comprehensively analyzed in order t o reach a more reliable conclusion

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