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Research on the Time-Varying Characteristics of Liquidity Risk in Asset Pricing

Author(s)

Qi Song

Affiliation(s)

Yuhe Street, ShuiQuanWanLongYuan, Shanxi, China,

Abstract

This paper systematically investigates the role of liquidity risk in asset pricing, its performance in different markets, time-varying characteristics, and interactive relationship with other risk factors. Significant differences between the developed and emerging markets are noted in this empirical research on liquidity risk premia. That is to say, within the financial turmoil period, liquidity risk from the emerging markets is more volatile and highly correlated with market risk and credit risk. These findings underline the necessity of including the liquidity risk factors within the asset pricing model and provide a theoretical support for investors to manage risks effectively in complex market environments.

Keywords

Liquidity Risk; Asset Pricing; Time-Varying Characteristics; Market Efficiency; Risk Management

References

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