Abstract
This research defines the liquidity risk of stock market in matter-element theory and affair-element theory, establishes the indicator system of the forewarning for liquidity risks,designs the model and the process of early warning using the extension set method, extension dependent function and the comprehensive evaluation model. And the paper studies empirically A-shares market through the data of 1A0001, which prove that the model can better describe liquidity risk of China’s A-share market. At last, it gives the corresponding policy recommendations.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Amihud, Y., Mendelson, H.: The effect of beta, bid-ask spread, residual risk and size on stock returns. In: Proc. of Journal of Finance, pp. 479–486 (1989)
Angelidis, T., Benos, L.: Liquidity adjusted value-at-risk Based on the components of the bid-ask spread. In: Proc. of the Applied Financial Economics, pp. 835–851 (2006)
Ying, Z.: The liquidity research on china’s stock market. In: Proceedings of the Securities Market Herald, pp. 63–68 (2001)
Cai, W., Yang, C., Chen, W., Li, X.: Extensible set and extensible data mining. Science Press, Beijing (2008)
Song, F., Tan, H.: Commonality in liquidity on an order-driven market: an empirical study on chinesestock market. In: Proceedings of the Collected Essays On Finance and Economics, pp. 63–69 (2005)
Wu, Y., Song, F.: Liquidity risk and stock return. In: Proceedings of the Operations Research and Management Science, pp. 117–122 (2007)
Yang, C., Cai, W.: Extension Engineering. Science Press, Beijing (2007)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2009 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Bai-qing, S., Peng-xiang, L., Lin, Z., Yan-ge, L. (2009). Research on Liquidity Risk Evaluation of Chinese A-Shares Market Based on Extension Theory. In: Shi, Y., Wang, S., Peng, Y., Li, J., Zeng, Y. (eds) Cutting-Edge Research Topics on Multiple Criteria Decision Making. MCDM 2009. Communications in Computer and Information Science, vol 35. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02298-2_23
Download citation
DOI: https://doi.org/10.1007/978-3-642-02298-2_23
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-02297-5
Online ISBN: 978-3-642-02298-2
eBook Packages: Computer ScienceComputer Science (R0)