| Liquidity is the basis for stock market.The better the liquidity is,the more vigorously the market shows.Once there is a crisis in liquidity,the market operation will be seriously affected.The outbreaks of all previous financial hazards were caused by sudden disappearance of liquidity in local markets and then caused significant spillover effects,leading to the spread of crises across markets,regions,and even countries.In the merging process of multi-level capital markets,not only the market efficiency is improved,but also the degree of correlation between markets is deepened.So the change of the liquidity in one market will quickly influence another market.The imperfections of China's stock market and immaturity of investors will accelerate the overall market's turbulence when people overreact to some information.This paper studies the liquidity spillover effects between the main board,small and medium board and the growth enterprise market.Combined with theoretical analysis and empirical research,this paper hopes to help investors look into the liquidity changes among markets,refrain from blind decision-making behavior,and provide some suggestions for the healthy development of the three major markets.Firstly,this paper explains the meaning of the main board,the SME,the GEM,and the liquidity spillover effects between stock markets,and analyzes the spillover mechanism of liquidity among these three markets from the perspectives of behavioral finance,risk management strategies,and financing liquidity.Secondly,by comparing four research methods of stock market spillover effects,two are selected owing to competence for the research on liquidity spillover effects.Considering the statistical characteristics of the three liquidity time series and the purpose of the study,this paper chooses BEKK(DCC)-GARCH-VAR model for demonstration.Innovations of this paper lie in analyzing the relationship among three major markets from the perspective of liquidity spillover and dividing the liquidity spillover effect into three parts: the liquidity mean spillover effect,the liquidity volatility spillover effect and the dynamic correlation of liquidity changes.And the BEKK(DCC)-GARCH-VAR model integrates all contents of the research into one system.Based on the analysis of this paper,there are significant mean spillover effects of liquidity among three markets,including one-way spillover from the main board to the GEM,two-way spillover between the main board and the SME market,and two-way spillover between the GEM and the SME.There are significant volatility spillover effects of liquidity among three markets,including two-way spillover between the GEM and the SME,one-way spillover from the main board to the SME and the GEM.There are strong dynamic correlations of liquidity change rates among three markets,and the current dynamic correlation coefficient is greatly influenced by the previous one.The liquidity mean spillover effect,volatility spillover effect and the dynamic correlation coefficient all shows that there is a closer relationship between the GEM and the SME,followed by the main board and the SME,finally the main board and the GEM.Based on results,this paper proposes relevant advice from four perspectives.This paper thinks that individuals or institutional investors should increase their professional knowledge of the capital market and rationally allocate assets across markets.Macroeconomic policy makers should focus on the market's linkage effect and actively guides the capital market to be practical.Financial market regulators should prefect the information disclosure system and improve the “individualized” regulatory system.Corporate managers should initiative to respond to the market's information shocks,and carefully select the listed sector for financing. |
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