上海交通大学学报

上海交通大学学报（自然版）

• 管理科学 • 上一篇    下一篇

金融危机中流动性风险与市场风险动态相关性

王灵芝，杨朝军   

  1. （上海交通大学 安泰经济与管理学院， 上海 200052）
  • 收稿日期:2009-06-29 修回日期:1900-01-01 出版日期:2010-03-30 发布日期:2010-03-30

Study on the Dynamic Correlation of Liquidity Risk and Market Risk During Financial Crisis

WANG Lingzhi，YANG Chaojun   

  1. （Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200052, China）
  • Received:2009-06-29 Revised:1900-01-01 Online:2010-03-30 Published:2010-03-30

摘要： 基于金融危机中流动性风险与市场风险同时增加的现象，定性分析了流动性风险和市场风险相关性的形成机制；选取上证综合指数为研究对象，采用时变条件方差方法对金融市场风险和流动性风险进行了测度；采用动态条件相关（DCC）法对两者时变的相关性进行了实证研究.结果表明，流动性风险和市场风险具有普遍的相关性，金融危机发生后，两者相关性显著增强.

关键词: 流动性风险, 市场风险, 条件方差, 动态条件相关

Abstract: During financial crisis, both liquidity risk and market risk increase. This paper analyzed the formation mechanism of their correlation qualitatively. Choosing Shanghai stock index as the research object it measured the dynamic market risk and liquidity risk by use of the timevarying conditional variance. It used the dynamic correlation coefficient (DCC) method to study the variable correlation between them. The results show that the liquidity risk and market risk have some correlation in common, after the burst of financial crises, there is a notable increasing of the correlation.

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