The Research Of Chinese Growth Enterprises Market Volatility

With the approval of China Securities Regulatory Commission, Chinese Growth Enterprise Market at the Shenzhen Stock Exchange officially opened on October 23, 2009. In the same year, it started trading on October 30. The establishment of GEM can be described as "ten years of sword", from the initial vision into a reality today, its appearance is a significant event in China's capital markets, which can broaden financing channels for SMEs and provide the financing platform for the national strategy of independent innovation and contribute to the multi-level capital market system. GEM support SMEs, particularly high-tech, high-growth enterprises. Some enterprises are difficult to meet the conditions of the Main Board. They cannot raise capital on the Main Board and turn toward the GEM. Comparing with the Main Board, the risk of the GEM is large. Therefore, studying on the volatility and risk measure of the GEM market is very meaningful to the capital market development and SME financing and the investors.GARCH model is a regression model which is about the analysis of the financial data, especially for the analysis of volatility and risk measure. The analysis plays a very important role in guiding the investors to make decisions. Its meaning is much more than the numerical analysis and prediction. This paper analyzes the results through the GARCH model and the VaR model and the samples. It is divided into five chapters:The first chapter introduces the background and the significance of the study and reviews the research situation of the GEM at home and abroad. The second chapter outlines the definition of the GEM market volatility and the factors which impact the market volatility and risk. It also elaborates the methods of risk measurement systematically. The third chapter describes the principles and the calculation process of the GARCH model and VaR model in detail. Based on the previous chapters, this paper selects the GEM as empirical research sample, and estimates the volatility and the risks of the GARCH model and the VaR model by using Eviews, Excel and other software for data processing. The fifth chapter summarizes the contents, and finally points out the shortcomings and the outstanding issues. The empirical results which show that:Suffering from the performance instability of the GEM companies, the lifted tide of the GEM companies stocks, and the leave of the GEM executives, the overall risk of the GEM market is much larger.