Liquidity Risk Measurement Of Stock Market

The stock market of china is an emerging market, and liquidity risk is the main kind risk of stock market. The relationship between market risk and liquidity risk is interrelated, liquidity is the vitality of market, but liquidity risk is an important component of market risk. Therefore, market risk is not the only factor when the whole asset of risk is considered. The research of liquidity risks in our country is at the initial stage, so most of the models are from abroad. But different countries have different national conditions, the market systems are different too, so it is reasonless that copy models from abroad. Considering not only the risk measure of the accuracy and objectivity, but also the effectiveness of risk management, market risk which included liquidity risk have become financial management focus, this is the significance of my study too.First of all, the basis of this background as well as significance and purpose of study about liquidity risk are introduced in detail. Then the current situations of liquidity risk at home and abroad are introduced. And we also introduce the studied content and framework, innovation and deficiency of this article are given.It is started that the concept of liquidity, both the factors affecting liquidity and liquidity risk models are summarized.This thesis of innovation is made to liquidity risk model from a microscopic view. The original model is stated by the highest transaction price subtracting the lowest, which exaggerates the value of risk. The improved model takes into account fully the effect of the actual transaction price and the amount of distribution to the total transaction amount. Modeling of individual stocks data is made from a macroscopic view, the feature of liquidity time Series is analyzed by the time series variation of liquidity characteristics; Autoregressive moving average model is built according to the characteristics of correlation and partial correlation. LM is used to test whether the heteroskedasticity phenomenon exist in residual series; In order to describe the trait cluster better, ARMA(1,1)-ARCH(1) model is built too; At the same time, LM and Q statistics are used to test to explain the rationality of model. The model is precision description of time series fluctuations. Portfolio model is based on the consistency of Value at Risk (CVaR) that is a new method proposed by Rockafellar, and explanation CVaR to meet the nature Justice of consistency of Value at Risk; Boshi Xinxing Growth Stock Securities Investment Fund of the third quarter2009Ten Awkwardness be selected as the empirical study. Finally, Through the study of liquidity risk, four conclusions are obtained.