Author(s)

Yaping Wang¹, Zhaohui Wang^2*, Yi Dang¹

¹School of Economics, Jinan University, Guangzhou, China.
²College of Commerce, Ningbo University, Ningbo, China.

This paper aims to study the impact of illiquidity on the risk of stock market crashes. Through empirical research on daily and weekly data of the Shanghai Composite Index, it is found that high liquidity can relieve the risk of stock market crash. For this reason, this article proposes to establish a stock market liquidity monitoring and early warning mechanisms, rationally control market leverage, and strengthen supervision of hot money.

Stock Market Crash, Illiquidity, Market Risk

Wang, Y. , Wang, Z. and Dang, Y. (2020) Illiquidity and the Risk of Stock Market Crash. American Journal of Industrial and Business Management, 10, 421-431. doi: 10.4236/ajibm.2020.102028.