Abstract
In this paper, t he theories of L_VaR and La_VaR are used t o describe the liquidit y of st ocks and the liquidity risk of the stock market. In the empirical analysis, six stocks are select ed from each indust ry which makes the tot al samples. The data from 2002 to 2012 are used to construct these t wo indicators and t he result s are compared. Through t he comparat ive st udy, the conclusion is that despit e the difference in charact erizations of liquidit y risk, the result s of t wo indicators are consist ent. To evaluate the liquidity risk of the stock mark et, various indicat ors should be comprehensively analyzed in order t o reach a more reliable conclusion.
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