The Risk Research Of Chinese Growth Enterprisemarket Based On VarR Models

Although the world economic development faced with a complex situation after the financial crisis, but China’s economy still achieve a sustained and stable development, in which the gradual improvement of China’s securities market has made prominent contributions to the sustained and stable development of the national economy. In the October of 2009, China’s stock market of Growth Enterprise Market(GEM) was officially established, which has a lower listing threshold for the small and medium enterprises, and provide adequate financial support for the development of high-tech industries, at the same time add vitality for the economic development. However, along with the higher growth, the GEM has higher risk, therefore strengthen the management of the GEM market risk is particularly necessary.The core of risk management is the measure of risk, but the methods of measurement are varied, and the scope of application and effectiveness of each method are different, therefore, based on the analysis of price fluctuation characteristics in the GEM, this paper is trying to find an effective method for the Market risk measurement of China’s GEM.This paper make the GEM index return data in recent years as the research object, firstly anlyzes the basic statistical characteristics of the sample data, and master the price volatility characteristics of China’s GEM market, followed study the correlation of price fluctuations between the GEM and main board market, which mainly analyze the causal relationship, the interaction process and degree of the two stock markets with different econometric models, then establish the risk measurement model of sample date use the Va R(Value-at-Risk) method which is current international widely used, and make empirical analysis with different GARCH models on the price fluctuation characteristics of GEM, and complish the comparative study with calculated Va R values. Finally, we summarize the full paper, and draw the following conclusions: the price fluctuation of GEM market in China has the characteristics of fat tail, long memory and non-symmetry; there is close relation between the GEM and the Main Board’s price fluctuations, but the connection has instability; the Va R risk measure method based on GARCH models can accurately measure the risk of GEM market in our country.