Amihud非流动性指标计算

参考Amihud（2002）关于流动性的度量方法:

setwd("e:/R/tail risk/day/tvn")
# 读取上市公司日收益数据
r1<-read_excel("r1.xlsx",sheet = 1);r2<-read_excel("r2.xlsx",sheet = 1)
r3<-read_excel("r3.xlsx",sheet = 1);r4<-read_excel("r4.xlsx",sheet = 1)
rr1<-read_excel("rr1.xlsx",sheet = 1);rr2<-read_excel("rr2.xlsx",sheet = 1);rr3<-read_excel("rr3.xlsx",sheet = 1)
rr4<-read_excel("rr4.xlsx",sheet = 1);rr5<-read_excel("rr5.xlsx",sheet = 1);rr6<-read_excel("rr6.xlsx",sheet = 1)
rr7<-read_excel("rr7.xlsx",sheet = 1);rr8<-read_excel("rr8.xlsx",sheet = 1);rr9<-read_excel("rr9.xlsx",sheet = 1)
r1<-slice(r1,-(1L:2L));r2<-slice(r2,-(1L:2L));r3<-slice(r3,-(1L:2L));r4<-slice(r4,-(1L:2L))
rr1<-slice(rr1,-(1L:2L));rr2<-slice(rr2,-(1L:2L));rr3<-slice(rr3,-(1L:2L));rr4<-slice(rr4,-(1L:2L));rr5<-slice(rr5,-(1L:2L))
rr6<-slice(rr6,-(1L:2L));rr7<-slice(rr7,-(1L:2L));rr8<-slice(rr8,-(1L:2L));rr9<-slice(rr9,-(1L:2L))
r5<-bind_rows(rr9,r1,r2,r3,r4,rr1,rr2,rr3,rr4,rr5,rr6,rr7,rr8)   
## 把时间改成数字并挑选其中的字符。
tvn<-(data.frame(r5,Trdmnt=as.numeric(str_sub(str_replace_all(r5$Trddt,"-",""),start=1L,end=6L)))%>%select(-2))[,c(1,5,2,3,4)]%>%tbl_df()%>%rename(tvn=Dnvaltrd/1000000) # 交易金额单位为 百万元
write.csv(tvn,"tvn.csv",row.names = FALSE)
tvn<-read.csv("tvn.csv")%>%tbl_df()    
illiq<-group_by(tvn,Stkcd,Trdmnt)%>%summarise(illiq=1/n()*sum(abs(Dretwd)/tvn))%>%filter(illiq!="NaN",illiq!="NA")%>%tbl_df()
setwd("e:/R/tail risk/month")
write.csv(illiq,"illiq.csv",row.names = FALSE)