摘要
流动性是股票市场的重要属性,是金融市场微观结构理论研究的重要议题,但对流动性进行准确的定义和度量却是一件困难的事情。本文从投资者实际投资时所面临的价格冲击入手,提出了流动性风险的概念,并定义了两个流动性风险的度量指标Q和Qvar。最后利用上海证券交易所样本股的日交易数据进行了实证研究,得出了分散化不仅可以降低价格波动的风险,还可以降低流动性风险的结论。
Liquidity is the important property of stock market,but it is difficult to define and measure liquidity. In this paper,according to the price impact of investor, we define the liquidity risk and design two indices Q and Qvar measuring liquidity risk of portfolio. In the end, we do some empirical research using the data of some sample stock in Shanghai Stock Exchanges,and draw a conclusion that diversification not only can reduce price risk ,but also can reduce liquidity risk.
出处
《中国管理科学》
CSSCI
2007年第1期6-11,共6页
Chinese Journal of Management Science
