The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment
Przemysław Garsztka , Krzysztof Hołubowicz
AbstractThe 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.
|Journal series||Folia Oeconomica Stetinensia, ISSN 1730-4237, e-ISSN 1898-0198, (B 11 pkt)|
|Publication size in sheets||0.7|
|Keywords in English||specific risk, assets liquidity, dynamic econometric model|
|Score|| = 11.0, 23-12-2019, ArticleFromJournal|
= 11.0, 23-12-2019, ArticleFromJournal
|Citation count*||1 (2021-06-16)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.