A Comparative Study On The Risk Of Main Board Market And Growth Enterprise Market

Current domestic academic research on the stock market risk is mostly respectively in Shanghai and Shenzhen stock index fluctuations. However, put the two bond market together with a comparative analysis is very few. At present, Chinese capital market is in a rapid development. As an integral part of the financial system, the stock market, the role of promoting economic development rapidly should not be underestimated. At the same time, the voice " the quality of main board is worse than the GEM (ie, the risk of GEM is lower than the main board) " attracted people’s attention. In this connection, it’s becoming more and more important that we should compare the risk of two markets. This paper selects main board and GEM to study their respective characteristics of stock price volatility, and a comparative analysis of their respective characteristics is listed. This paper is expected to make some contribution to the study of the stock market’s risk.In this paper, the CSI 300 Index (HS300)and GEM Composite Index (CYBZZ) are used to represent the main board market and GEM. And we study the logarithmic income rate of their respective index through GARCH model. The main contents include:The first, sort out the status of domestic and international stock market risk. Then, describes the research in terms of stock market risk; The second, describe the current development of the main board market and the GEM. And also describe the yields case of the main board market and GEM in Shanghai and Shenzhen; The third,we study the logarithm yields of the two stock markets comprehensively through the GARCH model; The fourth, a significant test was made to the two stock markets’ risk through non-parametric test method. The results show that it is suitable to use the GARCH model to fit the Main Board and GEM’s risk. The Main Board and GEM markets present volatility clustering, the leverage effect and a positive risk premium.Finally,we use non-parametric test method to detect the differences between the two stock markets’ risk. The results confirme the public generally view. The main board market’s risk is significantly lower than the GEM’s risk.In this paper, excel,spss and eviews are used to process the datas. The innovation feature of this paper is making a comparative study between the main board market and GEM’s risk. So that the two stock market can learn from each other and improve together. And many corresponding recommendations based on the results of comparative analysis are put forward. Meanwhile, the paper selects data from the beginning of the GEM to March 15,2015, forming a wide range of data, which makes this paper’s conclusions more Credible.