The Asymmetric Effect of Liquidity Volatility in Mainland China's Stock Markets
Huang Feng · Tongji yu xinxi luntan · 2010
This paper tests the liquidity risks of mainland China's stock markets by constructing an illiquidity indicator during the year from 1995 to 2005, and find that the liquidity risks of stock markets we mentioned above were obviously stand by the feature of volatility clustering.Further,we tested the dynamic characteristic of the stock markets by introduced asymmetric GARCH models,it shows that the liquidity risks of the stock markets were apparently asymmetric,which means when liquidity risk was weak,the future liquidity risk will be weak too,while liquidity risk was strong,the future liquidity risk will be also strong.So we can conclude that if there is any big liquidity problem,government should positively take actions to interfere into stock market.