An Empirical Research On Liquidity Risk Of Chinese Securities Market

Liquidity is the life of the securities market and is the key of maturity of securities market. The securities market will lost the foundation of existing if the trade did not accomplish. Based on above the reasons, Amihud and Mendelson pointed that liquidity is all of the market. The paper investigated the characteristic of liquidity risk on Chinese securities market based on the financial market microstructure theory from the empirical and theoretic aspect.The dissertation consists of three parts: the introduction of financial market microstructure theory and liquidity risk(chapter 1 and 2); the investigation of liquidity risk of Chinese securities market(chapter 3~7); finally, some advised policy is given. The detailed content is as follows:(1) Chapter 1 discussed the background, significance, method of the dissertation and introduction of correlative theories, and also introduced the content, structure and innovation of the dissertation. Chapter 2 introduced the definition and measurement of liquidity risk, and researched the influencing factors theoretically.(2) Chapter 3 researched the characteristic of liquidity-specific risk or systemic risk. In other words, the chapter tested whether the liquidity risk is the systemic risk proving the phenomena of liquidity co-movement. Chapter 4 investigated magnitude of the liquidity risk on Chinese securities market and incorporated the liquidity risk into traditional VaR model using the Liquidity-VaR model. Chapter 5 researched the liquidity risk caused by the price limit rule. The chapter evaluated the influence of the price limit by that we estimated renewedly the VaR using the return data adjusted after the price limit. Chapter 6 investigated the phenomenon of liquidity risk premium using LACAPM model on Chinese securities market. And the chapter also researched the relation of three liquidity risks and stock return. The aim of the chapter is tested whether the liquidity risk was priced accurately. Chapter 7 investigated the optimal trade strategy on Chinese securities market and we achieved the best trade strategy under the rational hypothesis.(3) Chapter 8 puts forward the advised policy and sums up the full text.