中国股市流动性风险的度量--LVaR研究(11)

中国股市流动性风险的度量--LVaR研究

其次，利用最优交易执行策略。在交易活跃的证券市场中，普通投资者可以在当前证券价格上，对其资产组合中某种证券的头寸进行调整(购买或出售标的证券)，而不会对该证券价格产生实质性影响。而对以基金为代表的机构投资者而言，所持有标的资产的头寸具有一定规模，其对该种证券的交易行为会导致证券价格的单方向变动，从而为投资者带来额外的交易成本，这方面的交易成本是与交易策略的执行紧密联系在一起的。Pérold(1988)[12]实证分析表明，所研究的样本基金平均账面收益超过市场平均收益20多个百分点，而最终实现收益仅仅超过市场收益的2.5个百分点，这其中的巨大差额就来自变现损失。因此，作为机构投资者应该根据市场流动性状况和自身的情况，如头寸规模、股票流动性等，制定出最优交易执行策略，从而将损失降到最低。

注释

1.E

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T

详见Hisata,Y., and Y. Yamai. Research toward the practical application of liquidity risk evaluation methods [J]. Monetary and Economics Studies, December 2000, 18(2):83-127.

ER数据库已对所有股票β进行了计算，并且每年调整一次。

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