中国股指期货日内不对称流动性调整VaR度量  

Intraday Asymmetric Liquidity-Adjusted VaR Measurement:Evidence from the China Stock Index Futures Market

作　　者：于孝建[1,2] 彭永喻 

机构地区：[1]华南理工大学经济与贸易学院,广东广州510006 [2]华南理工大学金融工程研究中心,广东广州510006

出　　处：《华南理工大学学报（社会科学版）》2017年第5期16-26,共11页Journal of South China University of Technology(Social Science Edition)

基　　金：中央高校基本科研业务费自主选题面上项目(2013ZM0120;2013X2D10)

摘　　要：本文在考虑买卖双方间不对称流动性及其不对称程度大小的基础上,计算买卖双方的流动性成本,对已有的流动性调整收益率方法进行扩展,提出日内不对称流动性调整VaR计算方法,并计算中国沪深300股指期货不同头寸下的不对称流动性调整VaR。研究结果表明,市场存在的不对称流动性及其程度大小会导致买卖双方面临不同流动性风险。相比传统VaR度量方法以及简单加总市场风险和流动性风险的方法等,不对称流动性调整VaR模型能更好地反映日内市场风险。Considering the asymmetric liquidity between the buyer and seller in the market and the degree of its asymmetry, the author calculates the liquidity cost of the buyers and sellers; improves the existed methods to calculate the liquidity adjusted return; puts forward a computing method of intraday asymmetric liquidity-adjusted VaR and calculates asymmetric liquidity-adjusted VaR in different positions of CSI300 stock index futures. It reveals that the existed asymmetric liquidity and the degree of this asymmetry in the market will make the buyer and seller face different liquidity risks. Therefore, compared with the traditional VaR measurements and the simple evaluation of market risk and liquidity risk, the asymmetric liquidity-adjusted VaR performs better on reflecting the intraday market risks.

关 键 词：不对称流动性 流动性调整收益率 日内VaR 

分 类 号：F222.3[经济管理—国民经济]