Study On The Risk And Risk Defense Of Small And Medium Enterprise Board In China

Chinese small and medium enterprise board (SME board) has been established in Shenzhen stock exchange from Jun 25, 2004. The emerging SME board is not real growth enterprise board or second board, but a continuation of main board. SME board is the innovation of Chinese stock market system and it will face some risk during the period of growth and development. Not only ratiosnal and comprehensive knowledge and appreciation of risk of SME board, but also scientific and scientific defense structure are the key of the growth and development of SME boardBy summing up and applying the theory of predecessors, this paper achieved some theoretical knowledge. Secondly, analyzed developing current situation of SME board. Thirdly, analyzed risk and risk defense of oversea second board market, gained enlightenment from the analysis of success and default of some of oversea second board markets. Fourthly, summed up the risk of SME board based on the analysis of the fundamental conditions of the issuing enterprise of SME board. Fifthly, made empirical test of the relation between SME board and main board, risk structure of SME board and the risk-return relationship by statistical analysis and the test of CAPM. Lastly, put forward measures of risk defense of Chinese SME board.This paper used both positive and normative analysis methods, andalso used both qualitative and quantitative analysis methods on risk of SME board's risk. The conclusion and innovation of this research as follows:1 SME board is the transition between main board and second board by comparing the risk of SME board with risk of main board and growth enterprise board.2 Based on statistical analysis of the fundamental condition of the issuing enterprises of SME board such as issuing and financing, distribution of different industries and ability of returning, summed up the special risks of SME board including the risk of the beginning of setting up of SME board, the risk of issuing enterprises composed mainly of private enterprises and the risk of system limit of SME board.3 In the empirical study, SME board was regarded as "quasi-market", and used the data of 38 stocks' weekly return within the past 20 weeks for the period 2004:6.25-2004:11.6 in SME board.4 In the first part of empirical study, studied the distribution trend, co efficiency and variance of weekly return of sample stocks. Based on these analyses, conclusion is that SME board is the continuation of main board, the fluctuation of the return of SME board "quasi-market" is stronger than that of main board.5 In the second part of empirical study, calculated Systematic Risk, Unsystematic Risk and the total risk level of SME "quasi-market", and analyzed the risk structure. Conclusion is that Systematic Risk is the main risk of SME board's individual stock and Systematic Risk can't explain the variation of the stock's return.6 In the third part, the empirical test of the CAPM was made in SME board "quasi-market" for the period 2004:6.25-2004:11.6 which included time-serial and cross-sectional regression. Conclusion is that CAPM test can't pass.7 Based on the study of SME board's risk, put forwards risk defend measures which includes three supervisor structures, the law guaranteeand two subjects which are issuing enterprises and investor of SME board.