| 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].地质技术经济管理,2008(8):83-87. |
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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： | 中国博士后基金项目（20070410665）和广东省自然科学基金项目（7301175）的部分成果. |
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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，个股之间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].Geological Technoeconomic Management,2008(8):83-87. |
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| Authors: | Liu Xiaoxing Qiu Guihua |
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| Institution: | (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 adjusted 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 markets and the distinction of liquidity level is not high among shares, and exists in a greater convergence. The quantity of a share in circulation is of notable negative correlation to La-VaR and market value of a share in circulation has a remarkable positive correlation to La-VaR . |
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| Keywords: | liquidity risk bid-ask spread value at risk BDSS model |
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