Research Of The Liquidity Risk Measurement In Chinese Security Market

The thesis is mainly research the liquidity risk in Chinese security market in two aspects, such as stocks and funds. For stock market, based on domestic and abroad researches and the current situation of Chinese stock market, a new index to measure liquidity risk is put forward. The A-share data of more than900listed companies in Shanghai Stock Exchange from July1,2006to December31,2008, is selected as a sample to study the stocks’excess return of the liquidity risk in different industries during bull and bear market periods, based on the stock yield, market yield and stock liquidity risk. Simultaneously, the impact of company size, the carrying amount of market value ratio, the proportion of tradable shares on stock returns are considered in order to measure the excess returns of stock. For equity open-end funds, on the basis of domestic and international research, stocks open-end funds are selected as the research object. The original liquidity risk measurement is improved, combined with the new stock liquidity risk indicator. The lowest price, highest price, previous closing price, turnover and other indicators of the top ten stocks in the fund and the proportion of total fund net equity, the proportion of net redemptions are all taken in consideration in the process of establishing the new measurement. Then, select July1,2006to December31,2008as the research period in order to research fund liquidity risk by comparing the bull and bear market.