A Research On Liquidity Of Stock Marketrisk Measurement

Liquidity of stock market refers to the stock to a reasonable price and low cost rapid liquidation ability.Liquidity is always changing, It is causing the stock return risk of one of the main sources.And it is also a measure of market efficiency of an important index. With the market globalization advancement, the allocation of resources has put forward higher requirements, which requires the establishment of an efficient stock market, and how to establish a good liquidity of stock market.Stock market has become one of the most important issues, especially in China such a emerging market on the flow problems for attention. For institutional investors, liquidity is more be a life-and-death matter at the crucial moment of need sufficient liquidity to readily realizable, usually also need to reduce the realization cost, to determine the optimal liquidation strategy. This paper summarizes the domestic and international scholars research of liquidity, the shares of listed companies as the research object on the liquidity risk of theoretical research, combined with China’s Shanghai and Shenzhen stock market actual situation to carry on the empirical analysis.The content of this paper from two aspects of theory and demonstration. The theoretical part, briefly discusses the research background, significance and the domestic and foreign related research, and then introduces the liquidity risk definition, characteristics, and the influential factor of liquidity risk, then introduces a variety of liquidity risk measurement model construction mentality and the advantages and disadvantages, Then elaborates the basic principle of La-VaR model and the calculation process, and mainly explains how to amend the La-VaR model improvement. The empirical part mainly from two angles of view of. One is the market liquidity risk influence factor. Two is themarket liquidity risk and traditional risk comparison. This paper selects between January1,2010and January1,2012,30representative listed real estate companies, the daily closing stock price spread, the circulation market value and before the ten major shareholders holdings as the sample data, The final conclusion:the improved La-VaR model for listed companies in China stock market liquidity risk measurement is applicable。Innovation of the reflected in:first, this paper will be the market liquidity risk factors and market liquidity risk measurement fusion together. Second innovation is the data selection samples were selected from the same industry, to avoid the policy difficult to measure factors.