Market liquidity risk [Elektronische Ressource] / Sebastian Stange

Sebastian Stange

Description

-Ma-rkStangeetDissertationLiquiditSebastiany23.03.2009RiskVTUniversit?technische2.Universit?t(Dr.M?nchenPr?ferLehrstuhlwurdef?rakult?tFinanzmanagementgenehmigtenundDr.Kapitalm?Univ.-Prof.rkteFUniv.-Prof.eiDr.durchChr.21.10.2009KasererpMaerkrsitzender:etKLiquiditDissertation:yChr.RiskDr.SebastianDieStange26.03.2009VTollst?ndigereingereichtAbedruckWirtschaftswissenschaftenderWirtschaftswissenschaftenvonrer.deol.)rDissFrtation.akult?tof?rUniv.-Prof.WirtschaftswissenschaftenR.derolischTderechnischen1.UniverDr.sKasereriUniv.-Prof.t?G.triedlM?nchenDissertationzuramEbrderlangungechnischendesM?nchenakundademischendiGradesFeinesf?rDoktoamrsangenommen.derhmarkAbstractndMarkesetreturnliquiditinymriskhorizons.ishangethemainpmooten(1999).tialtheloss,Thebtotalecausecomparedassetsascannotdata,borderetsoldiatthethedemonstratepriceispreviouslyhelpthoughst.signicanAlthoughthisevidencelationsuggestsythatrfectliquid-ofitnalyriskeectstaredelssignicanoutpt,Boththeyinoftenyremainthensupeofglectedbinspracticalprecisionrisktomanagemenapprot.

Sujets

• Management

Informations

• Publié par: technische_universitat_munchen
• Publié le: 01 janvier 2009
• Nombre de lectures: 21
• Poids de l'ouvrage: 1 Mo

Extrait

Market--StangeLiquiditDissertationySebastianRisk23.03.2009TechnischeUniversit?tUniversit?tV2.M?nchen(Dr.LehrstuhlPr?ferf?rwurdeFinanzmanagementakult?tundgenehmigtenKapitalm?Dr.rkteUniv.-Prof.Univ.-Prof.FDr.eiChr.durchKaserer21.10.2009Maprkeetrsitzender:LiquiditKyDissertation:RiskChr.SebastianDr.StangeDieV26.03.2009ollst?ndigerTAbeingereichtdruckederWirtschaftswissenschaftenvonWirtschaftswissenschaftenderer.rol.)FDissakult?trtation.f?roWirtschaftswissenschaftenUniv.-Prof.derR.TolischechnischenderUniver1.sDr.iKaserert?Univ.-Prof.tG.M?nchenriedlzurDissertationEamrblangungderdesechnischenakM?nchenademischenundGradesdieinesFDoktof?rrsamderangenommen.AbstractMarketndhmarkesliquiditreturnyinriskmishorizons.thehangepmainotenmotial(1999).loss,thebTheecausetotalassetscomparedcannotasbdata,eordersoldtatithethepricedemonstratepreviouslyisthoughhelpt.sAlthoughsignicanevidencethissuggestslationthatyliquid-rfectitofynaleectsriskaretsignicandelst,outptheyBothofteninremainyntheesupglectedofinbpracticalsriskprecisionmanagementot.approOnet-returnneyofoftheyreasonsenismothenecessarilyltheimitedeensciandenabticassumptionresearcareheinontheeareapoftliquiditimplemenypropriskailablemeasuremenmot.dataThisgetyhemeasuremensisdelsprostedvidesdata.anliquid-up-to-datemootedvproerviewbonriormarkmoetetlbaciquiditKupiecyriskriskwiresearchh.non-normalitItencotvosedersWithalltheaspdel,ectsliquid-ofstronglymarktheetpliquiditofyriskthat-a10-daryeneglrelevmanetFtorrisketmanagemenytsignicanasthewbell50astheexistingplTheseiquidittoyriskriskemovdels.wTheortfolioempiricalAanalysirunssbisninebasediquiditondewineighthetedIspread,aaisrelativerelypreciseness.newextensivliquidittheyomeasure,ewhicMyhmeasurecanriskbt.emoextractearedefromempiricallythedailylTheimitdiedorderitbriskodelokmplemenofwithelectronicbid-ask-spreadexcvhanges.toAeunique,e-repretosstandardedelnBangiatatival.eCommonsamplektestsofyw(1995)eighthattedispreadforecastedallothwsuctohigherprowhenvideyestimatestakonintheaccouneectviaofproporderCornish-Fishersizeximation.ontheliquiditofyempiricalcosts,moasIwthatellitasrisktheincreasedynamics,withdistributionalsizectheharacteristicsosition.andimpactcross-sectionalliquiditstructureonofisthistliquiditevyatmeasure.yTheLiquiditthesisriskalsodelspropectingoseseecttustwundorestimatenewrisk.liquiditurther,ycorireskbmowdels.liquiditTheandmoisdi-tedreducesliquiditliquidityimpactriskymooutdel%inwithtrostandardducesofaenewcorrelation.wresultsarobustyctoinaccounmeasure,tforctsthetimenon-ariatinormalitasyellinpliquiditdivyrsication.withthetesthelpaoferformancetheencCornishofanddierenFisherl(1937)-yappromoximation.lsThetableemdailypincludinginewricalositions.net-returnndmohatdelvbaseddataonthewdriveighofteddelspreadMoanalyzeswiththeeusefromoflimitthebwokeighntedrallyspreaderform.liquiditiiinewpropositions,tisemoliquiditdiediadd-onunderlineswithriskwweighcisenesstedeldriskspreadofandmeasureempiricalthenet-returnnon-normalwithwithwtegrated,eighcanteded.spreadvasarlywthisellusefulneaswGiotdandliquiditGrammigdeling.(2005),structurearecosts,allyrecommendable.asThesirsterlymoprdelriskdeliveersoprecisenewresultstributionsmosttocon-usistenintlyt..thesisIftheonlysstransactionthedataeighareeaspreadvinaiylable,motheIfmoanalyzeddelofbyyi.e.Cosandeyit(2001)aspellerformsincreaseborderest.ze,Withpropbid-ask-spreadindatathetheepropofosedforecastsmobdiedgreatlyadd-onmprmovdeThelmowithconbid-ask-spreadproacehievbesparticsupleriorhelpfulresults.practicalOvmanagemenerall,ivContentsAbstractiiiliquidit.2.2.2.4List.of.Figures.viiiExistingList.of.T.ables34ixdataList.of.AbbofreviationserviewxiMoListvof.Symblimitols.xii.1.Intro.duction.1.1.1yDelimitation.and2.2.1relevyanceMoof.topic..bid-ask-spread.Mo.transaction.....Mo.ok..........1Description1.2.Researc2.1.3hcostquestions.and.con16tributionet.mo.......neral.et...19.o.ev....4201.3basedStructure.of21analysisbased.ume...........24.based.b...mo.......Synopsis..........5372analysisBackground40and.existing13literaturExistingey7measures2.1.Bac.kground.on.mark.et2.2liquiditmarkyliquidit.risk.dels...........19.Ge.denition.mark.liquidit.risk..7.2.1.12.2.2Dedelnitionvofandmarkaluationet.liquidit.y......2.2.2.1.dels.on.......2.2.2.2.dels.on7ol2.1.2orOvdataerview.of.imp.ortan.t.asp.ec.t.s....2.2.2.3.dels.on.order.o.data.30.Theoretical.dels..11.2.1.2.1.Degrees.of.mark.et2.2.3liquidit.y...............11.2.1.2.2.Characteristics.of3markandetofliquiditsampleyv3.1Datatyp107v.es....5.2.2...risk...................tu...........Li...liquidit.del.y-adjusted...8740mo3.1.1.The.w90eigh.ted.spread.liquidit.y.measure....net-return.ation...y.t40.3.1.1.1horizonsDenitionexpansion...4.1.3...4.2.ted.De...Risk.....of.5.1..........40.3.1.1.2tationRange.of5.1.3applicationsy...5.1.4.....Bac...Bac...5.1.5..41.3.1.1.3.Datawsampl100e......tu...........y...4.1.2........43nition3.1.2riskPric.e,.bid-ask-spreadnet-returnandwv.olume85dataofsample....8546osition3.2.Mark.et.bac.kgroundEmpiricalinquiditsampledelspdiederio.d........5.1.1.............I48ecication3.3.Empirical.analysis.ofnwofeigh.ted.spread....del.........94.framew.....9449results3.3.1.Moti.v.ation............5.2.del.ted...Moti.............n.of.......5.2.349on3.3.2.De.scriptiv.e.statistics105.i.at.....81.Cornish-Fisher...............83.De.of50y-adjusted3.3.3.Tim.e.dynamics..84.Empirical.mo.with.eigh.spread.....4.2.1.nition.liquidit.risk.........4.2.2.decomp..55.3.3.4.Di.str.i.bu.tio.n.a5lanalysiscliharacteristicsy.mo.90.Mo.add-on.del..............64.3.3.5.Cross-sec90tMotiiationonal.comparisons....................5.1.2.mplemen.sp69.3.3.5.1.The.role.of.relativ.e91orderMagsizei.de.liquidit.risk......69.3.3.5.2.Da.y-of-the-w94eekMoandprecisenessh.o.lida.y.eects.......76.3.3.65.1.4.1Synopsisktesting.ork...........5.1.4.2.ktesting.............96.Synopsis..............78.4.New.liquidit.y99riskEmpiricalmomodelswith80eigh4.1spreadMo.died.add-on5.2.1movdel......................100.Mag.i.de.liquidit.impact......80.4.1.1.Li100quCorrelaiiditeecty.risk.approac.h............5.2.4.qu.dit.impact.shorter.........vi5.2.5Robustnesstests..125erall...........6...127...135.and...(2005).del...5.3.5..111.5.2.5.1eEectsmisestimationofdelcerformancehange.of.risk.measureok...5.3.3.5...liquidit111.5.2.5.2framewEects.of.time.v.ariation..l...t...T...5.3.5.4...Detailed111.5.2.5.3.Eects.of.pConclusionortfolio.div.ersication........144117and5.2.6.Synopsis..Mo.risk.....Bac.r.........ktesting.........5.3.5.1.d.......The.order..118.5.3129Comparisoneof.liquidi.t.yofrisk.mo.dels133.del.....Synopsis...........141.6.1.n120.5.3.1.Moti.v.ation6.2...............147.Giot.Gramming.........5.3.3.6.died.y.mo.......121205.3.45.3.2ktestingSeloectionkof.mo.d.e.ls......126.Bac.results.................127.Ov.mo.e120ranking5.3.3.Im.plemen.tation.sp.ecication5.3.5.2.impac.of.siz...........5.3.5.3.yp.of..121.5.3.3.1.General.approac.h131.Robustness.mo.rank.........5.3.5.5.mo.p......121.5.3.3.25.3.6Berk.o.witz.(2000)..................6.142.Summary.implicatio.s122.5.3.3.3.Cosandey.(2001)..........142.Outlo..............124.5.3.3.4.F.rancois-Heude.and.W.ynendaele.(2001)Bibliography125viiListofFiguresbutionvol2.1indexDegrees62of.mark.etriskliquiditindexyerage...erio...of...acceptance.ailabilit...t.b.t...63.and.sto....12e2.2.PriceRankingquanytitofyafunctionb.....Dev.a.y.selected.classes.indexed).......Sample.spread.normal.the.k......145.23.1ptanDevbelopmen.t.of97aliquiditvdelseragevliquidit128yacosteragebvyyindexy.........3.4.elopmen58of3.2vDevliquiditelopmencosttyofvaumev(constaneragesample,a.v.ailabilit.y.b.y.selected.v5.1olumepclassesd.histogram.tted.distri-.for.Comdirect.c...............92.Comparison.acce.c.rates.y...........5.3.of.y.mo60b3.3oDeverallelopmenratetviii