An Empirical Study On The Linkage Effect Of Chinese Growth Enterprise Market And Main Board Market

October30,2009-For China’s capital market is a very important day, the day of theGEM market in Shenzhen Stock Exchange. The establishment of GEM is China’s securitiesmarket development process is an important milestone. With respect to the motherboardmarket, the GEM market is high risk, volatility of great features. Thus, the launch of the GEMmarket, although improved capital structure of the market, but it will not bring the existingmarket affected, especially the motherboard market, because they were under great whileChina’s economic background, facing each species affected by the same factors; GEM andMain Board Market in the long-term development is well-balanced relationship, the twomarkets if there is linkage effects, what will affect the relationship between them, with thisseries of questions, empirical research article discusses methods the relationship between thetwo markets.Therefore, the focus of this research is the linkage effects between the motherboard andthe GEM market, in order to be able to better represent the two characteristics of the markettrend, selected representatives of the motherboard and GEM CSI300index and the GEMindex. Through Eviews software for both the stock market volatility, Cointegration andlinkage to do empirical analysis, the following conclusions: First, the GEM fluctuations inrelations with the motherboard, the motherboard market by GARCH model launched at thebeginning of the GEM Volatility was analyzed, the results showed that the motherboardmarket volatility is not due to the additional exogenous variables increases, which proves themotherboard market volatility is not as the beginning of the establishment of GEM vary;second GEM entire relationship with the Board Association, by the GEM and the Main Boardcointegration test the final outcome of all long-term co-integration relationship exists betweenthe main board of the GEM board market, indicating the presence of long-term between twovariables stable cooperative relations; and third, the GEM linkage with the motherboardthrough VAR model impulse response and variance decomposition analysis of the empiricalresults of the two functions can be drawn over time affected the GEM board market isrelatively large impact on the market GEM market shocks affect the motherboard market isrelatively small. This is different from previous empirical results might be different because the choice of a representative index, or also under the new economic context, the GEMmarket the rapid development of different effects bring results; fourth, GEM and BoardGranger relationship, through Granger causality test of China’s GEM index CSI300index andthe motherboard, the results show that there is no causal relationship between each other, butthe motherboard market presence unidirectional Causality GEM, which changes in themotherboard market for external factors that will guide the GEM market changes, the GEMmarket will not produce a guide for the motherboard market.