An Analysis Of The Systematic Risk Of ChiNext

Growth Enterprise Market in China(ChiNext) has experienced in 10 years of the planning decision-making period. It opened formally to stock deal and had taken a successful step for the Improvement of the capital market system. However, quoted companies on ChiNext are the innovative SMEs. Their prospects of development have greater uncertainty. Compared to the main board market ChiNext contains more risks. The characteristics of ChiNext whose capacity is small and the single industry structure make the ChiNext have more risks. When the market suffers impact of external factors, it may result in higher stock risks and systematic risk particularly. The performances of the irregular volatility of stock price and the rising or fall at the same time will make great effect to health, stability development of ChiNext.Based on the statement above, it is important to make an analysis of systematic risk in total risk to ChiNext as sample to study. Making the theoretical evaluation of the characteristics of securities market and its impact of systematic risks is first step, and then making analysis of the main causes of systematic risk in ChiNext. Selecting the first two groups of listed stocks in ChiNext as sample makes regression estimation based on CAPM model to get the proportion of systematic risk and total risk of stock. And then, we compare the statistical data with ones which comes from Chinese main board market. We obtain the characteristic of own in from our analysis. At last there are some reasonable policy recommendations about controlling systematic risk of ChiNext.The results show that there still are some problems of the existence of irrational corporate ownership structure and internal governance structure in enterprises of ChiNext. The company stocks are more vulnerable to influence of market signals and manipulation. Those problems have been the major causes of systematic risk of ChiNext. According to statistics we made, the individual stocks in ChiNext have greater total risk than ones in main board market and the systematic risk has a high proportion of the total risk. There are not significant difference of proportion of systematic risk in different industries. The phenomenon which stock price rose or fall at the same time has happened. It is ineffective to avoid stock individual risk through portfolio. The in ChiNext is greater than main board. The manipulation and speculation lead to a greater systematic risk.For the appearance of greater volatility of stock price and rise or fall at same time, we get some recommendations about controlling risk such as creating hedging instrument, improving corporate governance and fostering qualified institutional investors, which provides a reasonable reference to policy makers and regulators.