The Study Of The Co-movement And Co-jump Between Chinese Growth Enterprises Market And Main-Board Market

With the development of Chinese economy and Financial System, a Multi-level Capital Market System is building up and plays an important role in the financial system. The analysis of the co-movement among securities markets becomes more and more important in the application of finance. Meanwhile, the problems such as the portfolio analysis, asset pricing and financial risk measurement, all involve co-movement analysis. Furthermore, the co-movement analysis has practical meaning since the frequent break-out of world financial crisis. This paper selects the main board and GEM to study the correlation with each other, which could help investors have a better understanding of the characteristics of China’s securities markets and improve its further development.This paper studies the co-movement and co-jump between Chinese Growth Enterprises Market and Main-Board Market. We use Shanghai and Shenzhen300stock index and Shenzhen GEM index. The samples of the daily data range from June1,2010to March31,2012, The samples of the high frequency data of five minutes range from July1,2011to March31,2012.The paper uses Granger causality test, Johansen cointegration test model, BEKK-GARCH model to detecting the co-movement and uses two kinds of nonparametric test to detecting the co-jump. The results indicate that there’s no co-integration between Growth Enterprises Market and Main-Board Market; but exist the return spillover from Main-Board Market to Growth Enterprises Market, which is inextricably linked with the Main Board market and GEM market position in the multi-level capital market; furthermore there’s volatility spillover between the Main-Board Market and Growth Enterprises Market, which means there is information transmission between the Main-Board Market and Growth Enterprises Market. The results of the test of the co-jump of the Main-Board Market and Growth Enterprises Market confirms that exist the jump and co-jump between the Main-Board Market and Growth Enterprises Market, and jump are co-jump at the most time.