The Research On Liquidity Risk Measurement In Stock Market

Liquidity is the prime and basic attribution of stock market, which is the premise for stock market's existence and development. Liquidity risk is one of the main risks of stock market. Neglecting liquidity risk or shortage of liquidity risk management will lead to a significant loss.The earliest research of liquidity abroad dates back to1960'. Primeval research aims to construct liquidity index and research liquidity mode of stock market. While time goes to the last of 1990s, people start to quantify liquidity risk bias VaR models. But most of the researches stay at exogenous liquidity risk measurement, and very few researches take account of the endogenous liquidity risk caused by investor actions. Liquidity research in our country started from the last of 1990s. But research is still staying at discussion of liquidity mode of stock market, and very few literatures research liquidity risk. So theoretical research is far away from practice. Only the liquidity risk measuring from investor standpoint can reflect the real market liquidity risk, and can satisfy investor.The research of this thesis is just under this background. Firstly, basing on the microstructure of stock market of our country, this thesis analyzes the reason and course of liquidity risk, and constructs the risk index-loss value of price spread. Then, establishes the liquidity risk model based on the hypothesis of the loss value of price spread. Lastly, after empirical research, this thesis qualifies the liquidity risk of stock market of our country, and studied the effect of relevant factors to liquidity risk such as transaction immediacy in order to comprehend the liquidity risk better.This thesis manifests : (1) The loss value of price spresd is a effective index for liquidity risk measurement, and the La-VaR model basing on GARCH -t distribution is also effective which can satisfy investor liquidity risk management. (2) Liquidity risk is very sensitive to the diurnal time, VaR time horizon, activity of transactions and so on.