A New Model and Its Tests for Measuring the Liquidity Risk of Stocks
Wei Yang · Zhongguo guanli kexue · 2008
The conventional approach to measure liquidity risk of stocks is to calculate the average liquidity cost of stocks.The volatility of liquidity which reveal the time-series risk is gradully taken into account in recent years.This method of measuring liquidity risk is more reasonable in practice.Based on the two methods above we set up a new model,the liquidity cost-risk rectangle and the iso-liquidity risk curve,which integrate the former two different methods.We test our new model by employing a sample of the listed 107 A-stock's in Shanghai Stock Market.The results show that our model can measure liquidity risk of stocks more effectively and really.