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Applied Economics Letters Volume 31, 2024 - Issue 2
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Research Article

Estimating stock pledge rate using VaR and modified ES model

Kangsheng Taoa School of Business Administration, Zhongnan University of Economics and Law, Wuhan, Hubei, China
,
Bin Liub School of finance, Southwestern University of Finance and Economics, Chengdu, Sichuan, China
&
Can Wanga School of Business Administration, Zhongnan University of Economics and Law, Wuhan, Hubei, ChinaCorrespondence[email protected]
Pages 139-145 | Published online: 26 Sep 2022

References

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  • Huang, Z., X. Li, and Y. Zhao. 2022. “Stock Pledge Restrictions and Investment Efficiency.” Finance Research Letters 48: 102864. doi:10.1016/j.frl.2022.102864.
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  • Wang, M., and Y. Cheng. 2022. “Forecasting Value at Risk and Expected Shortfall Using High‐frequency Data of Domestic and International Stock Markets.” Journal of Forecasting. doi:10.1002/for.2881.
  • Wang, L., T. Xu, and S. Zhu. 2018. “Supply Chain Decision-Making Based on Warehouse Receipt Pledge and Risk Consideration Under Twice Ordering Mode.” Mathematical Problems in Engineering 2018. doi:10.1155/2018/9310165.
  • Xie, D., and M. Zhang. 2021. “Is Pledge Risk Matched Between Pledgees and Pledgers in China’s Share Pledge Market?” China Journal of Accounting Research 14 (4): 100207. doi:10.1016/j.cjar.2021.100207.
  • Zhou, J., W. Li, Z. Yan, and H. Lyu. 2021. “Controlling Shareholder Share Pledging and Stock Price Crash Risk: Evidence from China.” International Review of Financial Analysis 77: 101839. doi:10.1016/j.irfa.2021.101839.

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