股票投资组合流动性风险度量模型：构建与检验

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Chinese Journal of Management Science ›› 2007, Vol. 15 ›› Issue (1): 6-11.

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Measuring Model of Stock Investment Portfolio’s Liquidity Risk：Construction and Test

ZHU Xiao-bin

Shanghai University of Economics and Finance, Shanghai 200433, China

Received:2005-05-30 Revised:2006-12-11 Online:2007-02-28 Published:2007-02-28

Abstract

Abstract: Liquidity is the important property of stock market,but it is difficult to define and measure liquidity. In this paper,according to the price impact of investor,we define the liquidity risk and design two in-dices Q and Q_var measuring liquidity risk of portfolio.In the end,we do some empirical research using the data of some sample stock in Shanghai Stock Exchanges,and draw a conclusion that diversification not only can reduce price risk,but also can reduce liquidity risk.

Key words: liquidity, liquidity risk, portfolio, diversification

CLC Number:

F830

ZHU Xiao-bin. Measuring Model of Stock Investment Portfolio’s Liquidity Risk：Construction and Test[J]. Chinese Journal of Management Science, 2007, 15(1): 6-11.

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Measuring Model of Stock Investment Portfolio’s Liquidity Risk：Construction and Test

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