China's Stock Market Liquidity Risk Measurement

First this paper introduces the basic situation of China's stock markets, definition of 1 iquidity,definitionof liquidity risk, VaR models and common metrics and models.This paper selects a total of 30 stocks for the study, including large-cap, mid-cap and small-cap stocks of all 10 in Shenzhen and Shanghai Stock Exchange. Besides data from May 31,2008 to May 31,2009 is also picked out as study samples. According to empirical test, China's stock market shows the characteristics of non-normality and fat tail as well as makes the loss value of the price difference loss as metrics. In the light of the features of study subjects, intraday liquidity risks are described and compared from the angles of the large, mid and small cap stocks respectively., as well as the bear and bull market according to the time of the sample data. By empirical research, the following conclusions are drawn:the liquidity risk in stock market presents "L" type with a greater risk in the beginning, but. gradually decreasing to stabilization;the intraday liquidity risk of large-cap is relatively small and much more stable, followed by the mid and small cap; for the same stocks, the bull market has more stability but smaller liquidity risk than bear market.