An Investigation on Taiwan F-Stock's Liquidity-adjusted VaR, Back Testing, and Stress Testing

• Main Authors: PAN, CHIA-YUN, 潘佳昀
• Other Authors: TSAI, CHUI-CHUN
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/77736419984137931692

碩士 === 靜宜大學 === 會計學系 === 104 === In this study we adopt Bangia et al (1999) liquidity risk model to measure liquidity adjust value at risk (LVaR) on Taiwan Foreign Issuers Stocks. From 1st January 2013 to 31th December 2014, 23 F-stock companies with completely daily transaction records was selected as the sample. We used Bollerslev (1986) GARCH model to estimate the return and spread risk; use the estimation value to calculate the traditional VaR under only price fluctuate considered, and then calculate the LVaR under the ill-liquidity considered. Stress testing uses corporate governance as a variation to measure the difference. The research findings are as follows: (a)The range of traditional VaR is between 0.751 to 20.73. The largest one is “Fujian” and least one is ‘’Tainan‘’. The failure rate is between 0 to 94. 15 F-stock passes the back testing. All corporate governance test variables are pass the stress testing . (b)The range of LVaR is between 1.391 to 47.114. The largest one is “TPK” and least one is ‘’Tainan‘’. The failure rate of all F-stock is 0 and they passes the back testing. As corporate governance test variables used on stress testing, stockholding rate of directors and supervisors couldn’t pass. Compare with previous paper we integrate LVaR, back testing, and stress testing into the study to make an all-round liquidity risk measurement.