Study On The Measurement Of Liquidity Level And Risk Of Stock Market In China

This thesis holds the opinion that Liquidity is the relative strength of volume that can be accepted by the price fluctuation in some extent; Investors liquidate or invest some securities, there will be transaction influence between the transaction value and the market fair value, which is the Liquidity Risk that will be faced in stock transactions. This article analyzes three attributes of liquidity-Level, Time limit and Relativity, and analyzes the relationship between Liquidity and investment basing on these attributes, indicating that according to the difference of investment objects and periods, the Liquidity that concerned by investors are also different. Due to the close relations between liquidity and investor, this article from two fields to analyzes the elements that affect liquidity, scope and time limit, separately indicates the influencing elements on market liquidity, portfolio liquidity and individual share liquidity (from scope field), and elements in long term, medium term and short term liquidity(from time limit field).About the measurement of liquidity, this article uses actual effective velocity model ABL to measure the liquidity of individual share. It uses the actual share price fluctuation to substitute the relative fluctuation in effective velocity mode, and explains that effective velocity mode will overestimate the risk on the gap opening stock, while ABL model can successfully avoid this situation.In the process of measuring liquidity, this article creatively introduces BDSS model into the liquidity level measurement, using BDSS model to measure the liquidity level's In Risks Liquidity, working out the possible minimum level of liquidity, and then basing on the actual effective velocity model to estimate the liquidity risk when investors liquidate securities.