20.500.12556/DKUM-65382 Spread and liquidity issues a markets comparison Problematika likvidnosti in cenovnih razponov primerjava kapitalskih trgov The financial crises are closely connected with spread changes and liquidity issues. After defining and addressing spread considerations, we research in this paper the topic of liquidity issues in times of economic crisis. We analyse the liquidity effects as recorded on spreads of securities from different markets. We stipulate that higher international risk aversion in times of financial crises coincides with widening security spreads. The paper then introduces liquidity as a risk factor into the standard value-at-risk framework, using GARCH methodology. The comparison of results of these models suggests that the size of the tested markets does not have a strong effect on the models. Thus, we find that spread analysis is an appropriate tool for analysing liquidity issues during a financial crisis. Finančne krize so tesno povezane z likvidnostnimi težavami, ki izhajajo iz sprememb poslovanja na borzah. V tem članku analiziramo likvidnostne težave v času ekonomskih kriz. Likvidnostne učinke analiziramo na podlagi informacij o cenovnem razponu med ponujeno in povpraševano ceno naložbe. Predpostavljamo, da v času kriz obstaja pozitivna povezava med prevzemanjem tveganj in večanjem cenovnih razponov. V članku uvedemo likvidnost v standardno analizo tvegane vrednosti, pri tem pa za izračune volatilnosti uporabimo metodo GARCH. O primerjavi rezultatov po naborih delnic ugotavljamo, da velikost kapitalskih trgov ne vpliva na rezultate modelov, zato ugotavljamo tudi, da se po likvidnostnih modelih VaR ob upoštevanju predpostavk raziskave primerno ocenjujejo tržna tveganja. liquidity financial crisis GARCH VaR models likvidnost finančne krize modeli GARCH VaR true false true Angleški jezik Slovenski jezik Znanstveno delo 2017-04-03 10:07:33 2017-04-03 10:10:15 2022-07-08 03:07:54 2019-07-11 15:16:28 2016 0 0 str. 3-11 št. 1 Letn. 62 2016 0000-00-00 Zaloznikova Objavljeno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 0547-3101 338.124.4:339.721 751364 12263964 10.1515/ngoe-2016-0001 0547-3101 URN:SI:UM:DK:1ETL8L0O Nase_gospodarstvo_2016_Strasek,_Bricelj_Spread_and_Liquidity_Issues_A_markets_comparison.pdf Nase_gospodarstvo_2016_Strasek,_Bricelj_Spread_and_Liquidity_Issues_A_markets_comparison.pdf 1 41C44F56FD6A4EC7B2B1FEEB2E3F74A2 4c4dc47706c1655e2ef5fe5e3c895ce0242f5cffd77370a478470bf9e40aee13 0dc3d79c-7c0e-11eb-bb7a-00155d0001ca https://dk.um.si/Dokument.php?lang=slv&id=110499 http://www.degruyter.com/view/j/ngoe.2016.62.issue-1/ngoe-2016-0001/ngoe-2016-0001.xml 1 https://dk.um.si/Dokument.php?lang=slv&id=110498 Ekonomsko-poslovna fakulteta Naše gospodarstvo 0 0 0