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

• Autorzy: Przemysław Garsztka , Krzysztof Hołubowicz
• Języki publikacji: EN

Abstrakty

EN

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.(original abstract)

Słowa kluczowe

EN

Econometric models; Financial liquidity; Cox proportional hazard model; Investment risk; Risk measures

PL

Modele ekonometryczne; Płynność finansowa; Model proporcjonalnego hazardu Coxa; Ryzyko inwestycyjne; Pomiar ryzyka

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2015
• Tom: 15
• Numer: nr 1
• Strony: 83--100

Twórcy

autor

Przemysław Garsztka

• Poznań University of Economics, Poland

autor

Krzysztof Hołubowicz

• Poznań University of Economics, Poland

Bibliografia

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Identyfikatory

DOI

10.1515/foli-2015-0030