A Study On The Co-movement Of Muti-level Capital Market Of China

With the continuous development of the world economy,capital market has gradually become the core of financial markets because of efficient allocation of resources,promoting the economic develop rapidly.It has become a shared goal for the developed economies to establish a sound capital market system,which will make them win predominance in the competition of the world market.The current main strategy to achieve the goal is establishing multi-level capital market,so that the financial can service real economy more effectively and comprehensively.As the world's largest economy,The United States is also exemplary in the process of constructing multi-level capital market.US has established a mature multi-level capital market system,including mainboard market?GEM(Growth Enterprise Market)and OTC market.With which America showed a strong ability to resist risks during the financial crisis in 2008.The multi-level capital market maintained a good co-movement,making the domestic financing order to be quickly restored.The US economy served during 2008-2009,after that,the capital market index pulled up quickly to return to the pre-crisis levels.The economy of US also quickly returned to 2%growth rate When the global economic downturn.China's multi-level capital market has emerged with the development of NEEQ(National Equities Exchange and Quotations),Mainly composed of mainboard?SME Board(small and medium enterprises board)?GEM and NEEQ.There are different listing standards,trading system and the investor threshold in different markets,They are well arranged to meet as many financing needs as possible of various entities.Operation in the same country or region,enterprises face the same political,macroeconomic circumstances and the same investors.Therefore,in a efficient capital market,different capital markets should response to the information effectively,showing co-movement between them to some extent at the same time.This paper intends to test the linkage between the various levels of capital market through empirical research,so as to judge whether the system constructed is perfect and put forward suggestions on the basis of the research results.In previous studies about the co-movement of stock market,the main models used are VAR model,DCC-GARCH model and ECM model.Considering that Granger causality test,impulse response analysis and variance can be carried used based on VAR model.At the same time,VAR model can also be applied with multivariate linkage analysis,which meet the need of this study well.Therefore,this paper decides to study the linkage between the capital markets at all levels on the basis of the VAR model.This paper selects the closing price of Shanghai Composite Index,SME board index,the GEM index and NEEQ index from January 1,2015 to December 31,2016 as the research object.The result of cointegration test shows that there is long-term equilibrium relationship between SEM,GEM and mainboard but not between NEEQ and mainbord.The Granger causality test showed that there was no one-way or two-way Granger causality between the mainbord,the SME,and the GEM while the NEEQ has a two-way Granger causality relationship with the other three indices,which shows NEEQ is lagged in fluctuation of price.Through the impulse response analysis and variance decomposition,it is found that the response of the Shanghai Composite Index to its own impact is relatively large.The variance analysis also shows that the contribution rate of its own variance occupies a decisive position.At the same time,the fluctuation of the Shanghai index also brings a greater impact to the SEM and the GEM than its own impact.Three major market response to the impact of the market are mainly concentrated in the current period,and quickly weaken in the second period.The impact of the other three indexes' fluctuation on the NEEQ is continuous but not significant.Variance analysis shows that 86%of the NEEQ' fluctuation can be explained by its own impact,showing there is big difference and weak linkage the NEEQ and the other three.In this paper,we analysis the linkage between the GEM and the mainboard with the latest stata,reaching a different conclusion with the previous research that GEM have a good linkage with SEM and mainboard.Mainly due to the further improvement of the GEM system.The GEM has become more mature and effective so that the index can reflect the macro fundamentals better,showing a strong linkage with SEM and mainbord.The NEEQ is experiencing the same process with the start-up GEM:the enterprise stock price can not be effective response to valuation information because of lacking liquidity and immature market system.Investor are all taking a wait-and-see approach to the NEEQ,resulting in week linkage with other index.Based on the conclusion of this paper,I also draw lessons from the developed capital market in the United States and Taiwan,looking forward to overcoming the shortcomings of the NEEQ through the construction of the structured system,perfect the delisting system and so on.Enhance the linkage among the multi-level capital market,Give full play to promoting the real economy,driving China economy develop rapidly.