The Research of Liquidity Risk Measurements in China Stock Market

摘要

In this paper， the theories of L_VaR andLa_VaR are used to describe the liquidity of stocks and the liquidity risk of the stock market； In the empirical analysis, six stocks are selected from each industry which makes the total samples. The data from 2002 to 2012 are used to construct these two indicators andthe results are compared. Through the comparative study， the conclusion is that despite the difference in characterizations of liquidity risk, the resuks of two indicators are consistent. To evaluate the liquidity risk of the stock market, various indicators should be comprehensively analyzed in order to reach a more reliable conclusion.