The Empirical Research On The Volatility Of Chinese GEM Return

GEM was established in 2009 to build the multi-level of capital market. There are many companies listed on the GEM have outstanding performance, especially in 2013 GEM index rose 82.73 percent throughout the year, What's more, between January 1,2014 to April 3,2015,it peaked at 88.31 percent. A large number of institutional and individual investors flooded into this marketIn this paper, under the guidance of "leverage effect" and "volatility feedback effect ", we empirically study the daily and 5-minute trading data of GEM with the model of EGARCH (1,1) and GARCH-M (1,1), to analyze the volatility of GEM and the influence that market value and asset-liability ratio on leverage effect.The paper provide more in-depth insight to the brand new GEM from the micro perspective.Our research found that the GEM daily index is relatively weak in "leverage effect" and is not statistically significant, but the "leverage effect" is significant at five-minute frequency; by dividing the series of 5-minute trading data, from February 3,2012 to February 2,2015,into three phases, we found that,as the time moves,the phenomenon of asymmetric volatility and the "leverage effect" are getting more obviously; GEM investors is more sensitive to the "good news" of the companies with high market value and low asset-liability ratio, while the "bad news" of low market value.what is more,to the "bad news" of high asset-liability ratio company, with the concern of the financial problem.Finally, this paper put forward several policy recommendations for GEM on "Listed and issued system", "Transaction and monitoring system", "Delisting system", "Transfer system", "Establishment of a New GEM".