Measurement Model, Based On The Accumulation Of The Linear Model Of Stock Market Liquidity

With the development in financial market and the innovation in financial instruments, financial market practical operators have more requests to the accuracy of financial theory. The liquidity error by traditionary financial theory is increasingly prominent. Against this background, the researches about liquidity and related objects have been a hotspot in financial research area.In the study of liquidity, liquidity measurement model is one of the key problems. It's also the prime target in our paper. It systematical summarizes the history and recent development of financial market liquidity research in the foreign academe and investigates the advantages and shortcomings of all kinds of measure of liquidity. Based on this, we induct the cumulative link model which is often used to deal with categorial variables to the measure model of liquidity and bring forward a liquidity model based on cumulative link model. With this model we get a series of liquidity index with good statistical properties.It has done empirical research about the statistical law of various normal liquidity measurements. In the foreign academe, few researches are found to focus on the integrated study of the liquidity index. From lots of papers about the liquidity, we didn't find any empirical research about all measurement. However, most of the domestic empirical studies about liquidity are only use one or two index. Neither the foreign empirical study nor the domestic analyses the index's statistical properties themselves. Through our research, we find that the conclusions may different and even converse if using different index to measure liquidity. So former researches include foreign and domestic will lead vital bug.An excellent liquidity model can not only be used to mearsure market's efficient, but also be used for investment. In this paper, our model can be used to mearsure the Liquidity Ajusted VaR. To those institute who have much hedging operation, this model is quite useful.There are four main innovations in the paper: (1) It used the cumulative link model to build the model of liquidity measure. (2) It found the best solution of goodness of test for the model, and used it to judge whether ordered logistic regress is better than ordered probit regress. (3) It tests the probility of distribution of every...