| 基于买卖价差的我国股票市场流动性调整的风险价值研究 |
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| 引用本文： | 刘晓星,邱桂华.基于买卖价差的我国股票市场流动性调整的风险价值研究[J].当代经济管理,2008,30(8). |
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| 作者姓名： | 刘晓星 邱桂华 |
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| 作者单位： | 广东商学院金融系,广东,广州,510320 |
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| 基金项目： | 中国博士后科学基金，广东省自然科学基金 |
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| 摘 要： | 由于我国股票市场是一个典型的订单驱动型市场,存在报价深度不充分的问题,传统的买卖价差不能真正反映流动性风险,针对这一情形,文章以个股日最高价与最低价之间的价差为度量指标,结合经流动性调整的风险价值模型(BDSS),考察了沪市25个行业的25只样本股票面临的流动性风险值.实证表明,我国股市存在较大的流动性风险,个股之问的流动性层次区分度不高,呈现出较大的趋同性,流通股本数与流动性风险值呈显著的负相关,而流通市值与流动性风险值呈显著的正相关关系.
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| 关 键 词： | 流动性风险 买卖价差 风险价值(VaR) BDSS模型 |
An Analysis on Liquidity-Adjusted Value at Risk in Chinese Stock Market |
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| Liu Xiaoxing,Qiu Guihua.An Analysis on Liquidity-Adjusted Value at Risk in Chinese Stock Market[J].Contemporary Economic Management,2008,30(8). |
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| Authors: | Liu Xiaoxing Qiu Guihua |
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| Institution: | Liu Xiaoxing,Qiu Guihua(Finance Department,Guangdong University of Business Studies,Guangzhou 510320,China) |
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| Abstract: | The insufficient quote degree problem exists in the Chinese stock market,and so traditional Bid-Ask spread can not reflect truly liquidity risk because Chinese stock market is a typical order form driving market.According to this condition,the paper combines the spread between the highest and the lowest price with the liquidity ad-justed value at risk model(BDSS),analyzing liquidity risk of 25 shares in 25 sectors from Shanghai stock market.The results show that there is a big liquidity risk in our stock ma... |
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| Keywords: | liquidity risk bid-ask spread value at risk BDSS model |
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