Abstract

  
 

References (43)



 


 



Value at Risk and Stock Portfolio Liquidity


Rowland Bismark Pasaribu


Gunadarma University; ABFI Institute Perbanas
May 14, 2010

Journal of Accounting and Management, Vol. 21, No. 2, pp. 105-127, August 2010

Abstract:     
This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculation of VaR that confirmed not yet succeeded to prove pattern of relations between risk and liquidity both individually and in the level of stock portfolios. Also this study clarified that stock portfolio diversification yet achieve risk reduction.

Number of Pages in PDF File: 35

Keywords: Value at Risk, Stock, Portfolio, Liquidity

JEL Classification: G11, G12, G14, G31

Accepted Paper Series


Download This Paper

Date posted: June 8, 2011  

Suggested Citation

Pasaribu, Rowland Bismark, Value at Risk and Stock Portfolio Liquidity (May 14, 2010). Journal of Accounting and Management, Vol. 21, No. 2, pp. 105-127, August 2010 . Available at SSRN: http://ssrn.com/abstract=1841323

Contact Information

Rowland Bismark Pasaribu (Contact Author)
Gunadarma University ( email )
Margonda Raya 100
Pondokcina, Depok
Jakarta, West Java 62-16424
Indonesia
ABFI Institute Perbanas ( email )
Perbanas Street
Karet Kuningan, Setiabudi
Jakarta Selatan, DKI Jakarta 12940
Indonesia
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 533
Downloads: 161
Download Rank: 91,776
References:  43

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo6 in 0.562 seconds