Empirical Research On Linkage Between Main Board And GEM And Growth Enterpirse Market Volatility, Risk Analysis

Growth Enterprise Market mainly offers high growth emergingenterprises an alternative of financing and capital operation, especiallyhigh-tech enterprises, and it’s also an important part of Multi-level capitalmarket. In the high speed economic development country such as China,small and medium enterprises need the counterpart finance environmentand nonstop new impetus development. Growth Enterprise Market isdesigned to creat a loose environment for China new economics, supplyemerging enterprises with sustainable development capital, and supplyfinance more flexible convenient and efficient than commercial bank andtraditional securities market.China Growth Enterprise Market is mainly consist of high growthsmall and medium enterprise, which is high risk, therefore GrowthEnterprise Market index volatility is high. The analysis result show at5%level of significance, Shanghai composite index is said to grangercausality Growth Enterprise Market index,(however at10%level ofsignificance，the change of Growth Enterprise Market and Shanghaicomposite index are mutually influence), Shenzhen Component Indexand Growth Enterprise Market index are mutually granger causality, thusresearch the dynamic association relationship among Growth EnterpriseMarket, Shanghai stock market and Shenzhen stock market.This paper mainly utilize GARCH models and their extended models to create Growth Enterprise Market volatility model, by whichdescribe Growth Enterprise Market volatility, considering financial assetscharacter of high peak and fat tail, introduce GED distribution which candescribe earnings yield character of high peak and fat tail, meanwhileutilize normal distribution, student-T distribution and GED distribution tofit the Growth Enterprise Market earnings yield distribution, then contrastfitting precision under these distributions to describe financial assetsvolatility more accuracy.Finally, we measure Growth Enterprise Market risk, and contrastVaR under varied volatility models. Contrasting varied level ofsignificance, varied distribution and varied GARCH models, we will havea conclusion that at99%level of significance under student-T distribution,we will easily overvalue risk; EGARCH-VaR model under GEDdistribution will properly cover the risk. In reality in the process ofinvestment decision-making, whatever the risk is overvalued orundervalued, is bad for decision makers managing risk efficiently. SoEvaluation of Growth Enterprise Market volatility risk accurately canmanage Growth Enterprise Market risk efficiently.