Stock Market Liquidity And Crash Risk

In the modern economic market,companies can raise large amounts of funds by issuing stocks to speed up the process of business expansion.This function of the stock market allows socially dispersed funds to be used to the maximum extent;for individual investors,purchase The financial management of stocks in different industries not only satisfies their investment needs,but also facilitates the preservation and appreciation of personal wealth.The stock market has greatly promoted the development of the national economy.However,compared with the developed countries,the Chinese stock market has the characteristics of short establishment time and insufficient maturity,and the stock market in China has not been stable since its establishment.Turning a lot of capital into a bubble has greatly affected the enthusiasm of investors and the orderly development of the stock market.This article analyzes the relationship between the liquidity of the stock market and the external perspective of the company and the risk of the stock price crash,and explores the correlation between the two in greater depth.Based on the existing theoretical analysis,the logic between liquidity and crash is combed,this paper selects the Shanghai Composite Index data from 2009 to 2018 and the Shanghai and Shenzhen 300 stock index data from 2017 to 2019 as the research object of the article.Using the COPULA model,the two sets of data were calculated separately.Analyze the correlation between stock market liquidity and crash risk.Through empirical analysis,the article draws the following conclusions:The empirical results of the Shanghai Composite Index data show that:(1)There is a positive correlation between stock market liquidity and crash risk,and the tail(upper tail)correlation is significant.That is to say,when the stock market has a large risk of crash,there is usually strong stock market liquidity,but the small probability of crash risk is not related to the strength of the stock market’s liquidity;(2)The correlation between the liquidity of the stock market and the risk of stock price collapse is dynamic,that is,the correlation between the two is different at different time stages;(3)Survival Clayton Copula is still the optimal model after the sample cut analysis of the Shanghai Composite Index.Therefore,the article believes that Survival Clayton Copula can better characterize the relationship between the stock market liquidity and the crash risk of the Shanghai Composite Index Correlation.The empirical results of the CSI 300 stock index data show that:(1)There is a significant positive correlation between stock market liquidity and crash risk,but the tail correlation between the two is not significant.(2)The Gaussian Copula model has the best fitting effect on the CSI 300 index sample,indicating that the applicability of the model is different for different samples.Finally,the article analyzes the samples separately by using the time-varying Copula model.The results show that the time-varying Copula model is not superior to the static Copula model in terms of describing the tail correlation between stock market liquidity and crash risk.