The Volatility Difference Analysis In Main Board And GEM Index In China

With the rapid development of China’s economy, the need to build a multi-level capital market, the GEM market in October2009officially opened the integration of complementary and more obvious synergy between multi-level capital markets. Linkage studies between the various sections of the stock market volatility in favor of better management policies conducive to investors’profound understanding of its own rules, pricing and control financial risks. Therefore, the stock market in the financial linkage between academic research and practical application becomes increasingly important. This paper selects the GEM and the main market for the study investigated the relationship between the two. On the one hand the creation of the GEM is not a long time to study the GEM and the Main Board of the relationship between investors learn from the experiences of the motherboard market played the role of education; on the other hand, research on China’s Growth Enterprise Market of the various sectors, especially linkage study is relatively small, so the GEM and the Main Board of the comparative study of the market combined with a certain degree of innovation.In this paper were selected from Main Board and GEM Index June1,2010to January10,2014, a total of875days of data, the motherboard market as a representative selection of the CSI300Index, explore feature motherboard market volatility; GEM market as a representative selection of the GEM index, explore the fluctuation characteristics of GEM. Since the first use of the relevant inspection and test unit root test methods yield volatility index stability; studies show motherboard CSI300Index and GEM index daily yield are stationary; then on GEM and the Main Board of co integration test, test whether there is between the two long-term equilibrium relationship, studies show that China’s motherboard CSI300Index and GEM index was balanced co integration; Granger causality test re-use method of testing GEM causal link with the motherboard market through stage one, stage two and stage three different conclusions were drawn test and analyze the reasons; Finally, the motherboard, the yield volatility GEM, empirical research conducted asymmetric GARCH model. Through research shows that in GARCH models, Main Board and GEM showed varying degrees of volatility clustering, the GEM index conditional variance is greater than the motherboard, meaning that the risk is greater than the risk of fluctuations in the GEM motherboard; And Main Board and GEM have shown different degrees of leverage effect, negative information on the index is greater than the positive impact of the information.