<abstract xmlns="http://www.w3.org/1999/xhtml"><p> 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.</p></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.

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

Poznań University of Economics Faculty of Informatics and Electronic Economy Department of Econometrics al. Niepodległości 10, 61-875 Poznań, Poland

Poznań University of Economics Faculty of Informatics and Electronic Economy al. Niepodległości 10, 61-875 Poznań, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

The article analyses the relationship between investment risk (as measured by the variance of returns or standard deviation of returns) and liquidity risk. The...

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

Published Online: Dec 30, 2015

Page range: 83 - 100

Received: Oct 06, 2014

Accepted: Jun 30, 2015

DOI: https://doi.org/10.1515/foli-2015-0030

Keywords
specific risk, assets liquidity, dynamic econometric model

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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

Published Online: Dec 30, 2015

Page range: 83 - 100

Received: Oct 06, 2014

Accepted: Jun 30, 2015

DOI: https://doi.org/10.1515/foli-2015-0030

Keywordsspecific risk, assets liquidity, dynamic econometric model

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
specific risk, assets liquidity, dynamic econometric model