基于BDSS模型的我国股票市场流动性风险研究

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)考察了我国股票市场面临的流动性风险的可能最大值,研究我国沪深股市从2000年到2007年的流动性变化趋势。实证结果表明,我国股市流动性风险的最大值占到市场风险的30%以上,其中有的个股所面临的流动性风险最大值比例达到了总风险的40%以上;通过样本股间的对比分析,我们发现由于受市场系统性因素的影响比较显著,不论是深市还是沪市或者个股之间的流动性都不存在明显的层次区分,表现出较大的趋同性。

A Liquidity-Risk Research into China Stock Market Based on BDSS Model

In this article we take 45 stocks from Shanghai and Shenzhen Exchange Market as research samples.By taking the price difference between the highest and lowest price as measurement index and using the BDSS model,we calculate the possible maximum of liquidity risk in China stock market and study the trend of liquidity risk from 2006 to 2007.The empirical results show that the maximum value of liquidity risk is more than 30% of the market risk,and the maximum liquidity risk value of some individual stocks has reached 40% of the total risk;By comparative analysis of the stock shares,we found that,due to the significant influence of systemic factors,there is no obvious distinction in the liguidity of the Shenzhen and Shanghai Stock Exchange or between individual stocks,instead,there is greater convergence.