Value at Risk and Stock Portfolio Liquidity

Pasaribu, Rowland Bismark

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Value at Risk and Stock Portfolio Liquidity

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

35 Pages Posted: 8 Jun 2011

See all articles by Rowland Bismark Pasaribu

Rowland Bismark Pasaribu

NAMOURA Research Institute; Gunadarma University

Date Written: May 14, 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.

Keywords: Value at Risk, Stock, Portfolio, Liquidity

JEL Classification: G11, G12, G14, G31

Suggested Citation: 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: https://ssrn.com/abstract=1841323