股票流动性风险测度模型的构建与实证分析被引量：11

A New Model and Its Tests for Measuring the Liquidity Risk of Stocks

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摘要传统度量流动性风险的方法是计算股票的平均流动性水平,近年来逐渐考虑到了流动性的波动性,对流动性风险的度量更加接近实际。本文在以上两种衡量流动性风险方法的基础上建立了包含"横"与"纵"两维上的新的流动性风险测度模型——流动性"成本-风险"矩形和等流动性风险曲线,并以上海证券交易所上市的107只A股为样本进行实证检验,结果表明该模型能够比较全面真实的测度股票的流动性风险。 The conventional approach to measure liquidity risk of stocks is to calculate the average liquidity cost of stocks. The volatility of liquidity which reveal the time-series risk is gradully taken into account in recent years. This method of measuring liquidity risk is more reasonable in practice. Based on the two methods above we set up a new model, the liquidity cost-risk rectangle and the iso-liquidity risk curve, which integrate the former two different methods. We test our new model by employing a sample of the listed 107 A-stock＇s in Shanghai Stock Market. The results show that our model can measure liquidity risk of stocks more effectively and really.

作者韩国文杨威

机构地区武汉大学经济与管毫学院广发巅货投资研究部

出处《中国管理科学》 CSSCI 2008年第2期1-6,共6页 Chinese Journal of Management Science

基金教育部人文社会科学重大研究项目(05JJD790020)子课题

关键词流动性风险成本-风险矩形等流动性风险曲线 liquidity risk cost-risk rectangle iso-liquidity risk curve

分类号 F830.91 [经济管理—金融学]

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参考文献18

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二级参考文献46

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