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

Garsztka Przemysław () and Hołubowicz Krzysztof ()
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Garsztka Przemysław: Poznań University of Economics Faculty of Informatics and Electronic Economy Department of Econometrics al. Niepodległości 10, 61-875 Poznań, Poland
Hołubowicz Krzysztof: Poznań University of Economics Faculty of Informatics and Electronic Economy al. Niepodległości 10, 61-875 Poznań, Poland

Folia Oeconomica Stetinensia, 2015, vol. 15, issue 1, 83-100

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.

Keywords: specific risk; assets liquidity; dynamic econometric model (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:15:y:2015:i:1:p:83-100:n:12

DOI: 10.1515/foli-2015-0030

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