The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment

Przemysław Garsztka , Krzysztof Hołubowicz

Abstract

The article analyses the relationship between investment risk (as measured by the variance of returns or standard deviation of returns) and liquidity risk. The paper presents a method for calculating a new measure of liquidity risk, based on the characteristic line. In addition, it is checked what is the impact of liquidity risk to the volatility of daily returns. To describe this relationship dynamic econometric models were used. It was found that there was an econometric relationship between the proposed measure liquidity risk and the variance of returns.
Author Przemysław Garsztka (WIiGE / KE)
Przemysław Garsztka,,
- Department of Econometrics
, Krzysztof Hołubowicz
Krzysztof Hołubowicz,,
-
Journal seriesFolia Oeconomica Stetinensia, ISSN 1730-4237, e-ISSN 1898-0198, (B 11 pkt)
Issue year2015
Vol15
No2
Pages27-41
Publication size in sheets0.7
Keywords in Englishspecific risk, assets liquidity, dynamic econometric model
URL https://www.degruyter.com/downloadpdf/j/foli.2015.15.issue-1/foli-2015-0030/foli-2015-0030.pdf
Languageen angielski
Score (nominal)11
Score sourcejournalList
ScoreMinisterial score = 11.0, 23-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 11.0, 23-12-2019, ArticleFromJournal
Citation count*1 (2020-08-06)
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