Dissertation > Excellent graduate degree dissertation topics show

Study on the Measurement of Liquidity Level and Risk of Stock Market in China

Author: PanYaShu
Tutor: YangXing
School: Jinan University
Course: Finance
Keywords: Liquidity level Liquidity Risk Realization Impact
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 84
Quote: 0
Read: Download Dissertation

Abstract


This thesis holds the opinion that Liquidity is the relative strength of volume that can be accepted by the price fluctuation in some extent; Investors liquidate or invest some securities, there will be transaction influence between the transaction value and the market fair value, which is the Liquidity Risk that will be faced in stock transactions. This article analyzes three attributes of liquidity-Level, Time limit and Relativity, and analyzes the relationship between Liquidity and investment basing on these attributes, indicating that according to the difference of investment objects and periods, the Liquidity that concerned by investors are also different. Due to the close relations between liquidity and investor, this article from two fields to analyzes the elements that affect liquidity, scope and time limit, separately indicates the influencing elements on market liquidity, portfolio liquidity and individual share liquidity (from scope field), and elements in long term, medium term and short term liquidity(from time limit field).About the measurement of liquidity, this article uses actual effective velocity model ABL to measure the liquidity of individual share. It uses the actual share price fluctuation to substitute the relative fluctuation in effective velocity mode, and explains that effective velocity mode will overestimate the risk on the gap opening stock, while ABL model can successfully avoid this situation.In the process of measuring liquidity, this article creatively introduces BDSS model into the liquidity level measurement, using BDSS model to measure the liquidity level’s In Risks Liquidity, working out the possible minimum level of liquidity, and then basing on the actual effective velocity model to estimate the liquidity risk when investors liquidate securities.

Related Dissertations

  1. Research on VaR Based on Liquidity Risk of Open-end Funds,F224
  2. The Research on Liquidity Risk of Energy Enterprise’s Overseas Merger and Acquisition,F271
  3. Study in Stress Testing of Liquidity Risk of Commercial Banks in China,F832.2
  4. Studies on the Liquidity Risk Management of Chinese Commercial Banks in the Background of Post Financial Crisis,F832.33
  5. The CIR Pricing Model of Default-risky Bonds with Liquidity Risk,F830.91
  6. Copula function and high-end ES liquidity of commercial banks risk measure,F224
  7. Research of Controlling and Preventing on Individual Housing Loans Liquidity Risk of China’s Commercial Bank,F293.3
  8. The Research on Risk Management for Chinese Open-end Funds,F832.51
  9. Risk Analysis of Individual Housing Loans of Bank of China Tianjin Branch,F832.4
  10. Study on the Liquidity Risk Management of Financial Companies of Enterprise Groups,F832.39
  11. Liquidity Creation of China Commerical Bank,F224
  12. The Study of Liquidity Stress Testing on China Commercial Banks,F832.33
  13. Research on Chinese Commercial Banks’ Liquidity Stress Testing,F832.2
  14. The Research on Liquidity Risk of Commercial Banks Based on Stress Testing,F224
  15. The Settlement Risks and Management in China National Advanced Payment System,F832.2
  16. Risk Management of Stock Index Futures Base on LA-VaR,F830.91
  17. Analysis and Management on the Liquidity Risk of Open-end Fund,F832.51
  18. The Liquidity Management Research of Using Cross-Border Collateral to Obtain Central Bank Credit for Commercial Bank,F224
  19. The Analysis of State Credit Guarantee and Its Withdrawal Influencing Commercial Bank Liquidity Risk,F224
  20. The Research on the Relationship between Turnover Rate and Liquidity Risk of Chinese Stock Markets,F224
  21. Commercial Bank Liquidity Risk Analysis,F832.2

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile