Shenzhen Stock Market An Empirical Analysis Of The Differences Between Market Price Fluctuations

Shenzhen securities market, as one of China’s two stock exchange markets, isclosely related to China’s overall economic development. With the development ofour national economy and the continuing improvement of financial system, theShenzhen securities market established three different market: main board market、small and medium-size market and the growth enterprise market(GEM), thecompanies in the three different market have different characteristics. As frequentlyused objects to study the stock market in the academic community, stock market indexis an important measure for measuring the overall level and trend of the stock market.Over the years, the study of the relationship between stock market and influencefactors emerge in endlessly at home and abroad. In this paper, on the basis ofsumming up the domestic and foreign research, the Shenzhen Component Index、theindex of small and medium-size market and GEM have be selected to reflect the threetypes of stock market, select GDP、inflation、money supply、bank loans and thenumber of securities account as influence factors, study the influence of the fivefactors on the three different types of stock market and the different between theaffects. In this paper, after the theoretical analysis of these relationship, I use timeseries correlation analysis、the ADF test、cointegration test and Granger causality testto complete the part of the empirical analysis. The results of empirical analysis showthat GDP and inflation has a positive direct impact on main board market of Shenzhen,inflation、money supply、bank loans and the number of securities account has apositive direct impact on medium-size market; inflation、money supply、bank loansand the number of securities account has a direct impact on the GEM market, in theseeffects inflation and money supply are reverse effects, bank loans and the number ofsecurities account are positive effects.The impact of the above, the effect of inflation on the GEM, the effect of bankloans and the number of securities account on the small and medium-size market andGEM, are stronger than others. This show, when the five factors change, the impactson the three type stock market is different. Regulators are required to develop different policies to confront the change of external factors, at the same timeregulators need to correctly guide the investment behavior of investors. And investorsmust have a correct understanding of the different effects of the five factors on thedifferent type of market, scientific analysis, reasonable distribution of assets, rationalinvestment. For listed companies, right measures and management methods must bedeveloped for the company to confront the change of the five kinds of factors toensure the normal development of the company.