Spread and Liquidity Issues: A markets comparison
Ključne besede:
likvidnost, finančne krize, modeli GARCH VaRPovzetek
Finančne krize so tesno povezane z likvidnostnimi težavami, ki izhajajo iz sprememb poslovanja na borzah. V tem članku analiziramo likvidnostne težave v času ekonomskih kriz. Likvidnostne učinke analiziramo na podlagi informacij o cenovnem razponu med ponujeno in povpraševano ceno naložbe. Predpostavljamo, da v času kriz obstaja pozitivna povezava med prevzemanjem tveganj in večanjem cenovnih razponov. V članku uvedemo likvidnost v standardno analizo tvegane vrednosti, pri tem pa za izračune volatilnosti uporabimo metodo GARCH. O primerjavi rezultatov po naborih delnic ugotavljamo, da velikost kapitalskih trgov ne vpliva na rezultate modelov, zato ugotavljamo tudi, da se po likvidnostnih modelih VaR ob upoštevanju predpostavk raziskave primerno ocenjujejo tržna tveganja.
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