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
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, G31Accepted Paper Series
Date posted: June 8, 2011
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