The Research On The Measurement Of Liquidity Risk Of The Stock Market In China

With the complexity of the financial market environment, liquidity risk becomes one of the most important risks in the financial market. The suddenly break of the liquidity strain in the financial market will often directly make severe crisis of the economics. The fact is that the ignorance of the liquidity risk will make a big loss for the financial market and financial institution. The listed companies, the investment institutions and the market participators have paid more attention for the liquidity risk along with the development of the stock market in China. Therefore, the study of liquidity and liquidity risk of our stock market, how to measure the liquidity risk is to be the very important and interesting project to drive our stock market go ahead, keep away the financial risk and improve the stability of the finance market.This paper is based on the study about liquidity risk abroad or in China, combined the running mechanism of stock market of China, tried to design the liquidity risk measurement index, built the GPD-GARCH-ES model, used the data of the stock market to test the GARCH affect and make use of the coherence risk measurement ES method to measure the liquidity risk of our stock market. The conclusion is that the changing trend of the ES value of the intraday liquidity risk of the stock appears to be inverse "L"; at the beginning of the open of the stock market, the liquidity is low and the liquidity risk is big, but with the transaction goes along, the liquidity is big and the risk become low to be stability; the more the amount of the stock, the lower the liquidity risk is.