Co-movement Of GEM、the Main Board And The Medium Plate Market In China

GEM market in China was officially launched in2009, is another importantmilestone in the course of development of Chinas capital market and is a newfinancing channel for good growth while fund-lacking SMEs. Compared to ourexisting stock market, the Growth Enterprise Market (GEM) is of higher risk andgreater volatility in the market. Will it significantly impact the volatility of themainboard market and the small plates, as a part of the market in the same politicaland economic environment, do GEM market、the motherboard market and the smalland medium plate market have synchronous movement of the trend-that is,whether there is a linkage between the three markets and in which way does theinteraction and mutual influence take place, The study of these issues for the theGEM market and the development of Chinas capital market has important theoreticaland practical significance. Therefore, the essay have a in-depth study of the GEMmarket、the motherboard market, market and small plates。This paper first introduces may cause the securities market linkage oftheory, a review of the condition and problems of the stock market at home andabroad linkage research. Next, define the GEM, the motherboard, and the concept ofsmall plates, and comparative analysis of three aspects of the issue conditions,industry distribution and capital raising information on the Third Market. On thisbasis, we do empirical research to study the linkage among these three markets. First of all, join the dummy variables GARCH model to study the GEM launch whether themotherboard market in the short term, small and medium plate market volatilityhave a significant impact, and then use the DCC-MVGARCH method to study the GEMmarket with the motherboard market, small and medium plate market long-termfluctuations in the dynamic correlation; final use of the VECM model combinedimpulse response function analysis and variance decomposition and Grangercausality test method to further study the longer term relationship among GEMmarket、motherboard market and small plates market。Empirical research concluded that: first, the launch of the GEM does notsignificantly increase the fluctuations of motherboard and small plates in short term,that is to say, the launch of the GEM did not shock the existing market. a great impact.Secondly, through the establishment of a small board and GEM binary DCC-GARCHmodel, confirmed the spillover benefits between GEM and small plates marketincome fluctuations, and the correlation coefficient between the two time-varying.Third, based on the vector error correction model and co integration test, the threemarkets have indeed a long-term cooperative relationship. Further impulse responsefunction and variance decomposition test results show that the impact of themotherboard market and small plates on the Growth Enterprise Market (GEM) areslower to react, the reaction strength is small, and small plates reflect on themotherboard market and greater intensity, while GEM have a strong reaction toother two markets.