中文摘要：

利用流动性调整的风险价值模型考察了世界主要股票市场的流动性风险值及其变化趋势和它们之间的长期均衡关系。实证结果表明,各国股票市场面临的流动性风险占总风险的比重普遍较大,我国股市各年的流动性风险波动最为剧烈;协整分析表明样本指数间存在着长期均衡关系,其中美国股市对其他股市影响最为显著,英国富时指数对法国巴黎、澳大利亚和我国证券指数存在显著影响,澳大利亚、中国香港和日本股市间存在着相互影响关系,日本对香港、香港对印度存在单向影响,而我国沪深股市对其他股市影响不明显。

英文摘要：

The paper utilizes the model main stock market＇s VaR, their trends and markets. The research results show that in of the total risk, and the liquidity risk volat integration analys lS quidity adjusted value at risk （VaR） to examine the the long term every market ility in Chines shows that there exists the long term balanced relationship among different stock liquidity risk accounts for a large proportion e stock market is the largest each year. Cobalanced relationship among the sample indexes. American stock market has the most significant impact on other stock markets; Financial Times Index has significant impact on the security indexes of the markets in France, Australia and China. There is relationship among the stock markets in Australia, Hong Kong SAR of China and Japan. Japanese and Hong Kong markets have the one-way impact on the markets in Hong Kong and India respectively, while Chinese stock markets have no significant impact on other markets.