The Research Of Chinese Growth Enterprises Market Return Volatility

At present, China's stock market is still in rapid development stage. GEM recently launched a multi-level capital market is to build a concrete manifestation of the strategic plan, with the existing board, small board together, to form China's multi-level structure of the stock market, meanwhile, led pre-IPO private equity market activity and prosperity, the Chinese capital market more perfect. Therefore, the volatility of stock returns GEM empirical research, and GEM and board, small board market dynamics related research help investors and government regulators a clearer understanding of the characteristics of China's Growth Enterprise Market Investors according to their investment objectives and make the appropriate investment decisions, while the government regulatory authorities to develop policies to provide important guidance.In this paper, based on the research of scholars at home and abroad, our country has just launched the Growth Enterprise Market stock market volatility as a research starting point, the first fluctuations of the GEM yield conduct empirical research, and the GEM, the motherboard and the small board volatility of stock returns for the dynamic correlation.Through empirical analysis, this paper draw the following conclusions:1. GEM mean yield response to external shocks with a relatively slow rate of decline, one can see the impact of the impact on yield will go on an indefinite extension of the trend. Means that GEM has a strong rate of return and volatility clustering of longer duration. GEM refers to the negative impact than positive impact on the greater impact of volatility, the behavior of GEM investors vulnerable to the impact of bad news, thus increasing the volatility of the stock market.2. Since the GEM index June 1,2010 launch, nearly a year's time, the dynamic correlation coefficient over time are constantly changing, instant change characteristics. The dynamics of the correlation coefficient from the market point of view, the GEM index Shanghai Composite Index, Shenzhen Component Index and the small plates have shown a positive correlation means. As something new investors "chase", refers to the beginning of the GEM, GEM has worked with three other market-related level to a minimum. But with a new enthusiasm to fight subsided, correlation increased significantly.3. GEM plate refers to the dynamic small and medium refers the most relevant, due to the GEM is in transition from the small plates, making the Growth Enterprise Market listed companies with small board listing requirements, the similarities are more in scale, this and causing a high correlation between the two.4. GEM board with the Shenzhen market also has a high correlation, and the overall trend is increasing; with the Shanghai main board, its relevance in a process of wide shocks, showing up the convergence trend. A comprehensive view of China's GEM and Main Board of the correlation coefficient or dynamic conditions is much larger than the GEM and Main Board of the foreign rate of return correlation coefficient, is really what our country with foreign GEM as independent of the motherboard market is questionable.