Empirical Research of Liquidity Risk Based on China´s Stock Market

This paper aims at providing a realistic method to measure liquidity risk of China´s stock market and data base for China´s stock market liquidity risk management. The construction of research model is based on VaR method and the analysis method is adopted to calculate the VaR. The total sample is 121 shares, which are selected according to industry and region. Empirical research results show that China´s stock market stocks have uneven level of liquidity risk as well as strong industries, regions and market differences. Finally this paper proposes some practical policy recommendations for liquidity risk management.