| Along with the continuous improvement of China’s capital market,China’s capital market is developing toward a multi-level structure.In 2013,the formal operation of the small and medium-sized enterprise shares transfer system marked the establishment of the new san ban market,thus enriching the components of China’s capital market.The new sanban has just established,showing a booming trend,this trend is bound to let investors pay more attention to the new board,and compared with the motherboard market,the new board has the characteristics of high efficiency,low threshold of market access and low cost in terms of financing,its capital market to inject fresh blood,enhance the liquidity of the capital however,between the development of three new board and main board market in some cases there may be a relationship.In order to find the relationship between the new san board and the main board market,this paper mainly studies the volatility spillover effect between them.The current literature research methods for different capital market volatility spillover is mainly reflected in two aspects: one is to mean,as the index,the volatility spillover effect of the two;two,as the index to the market rate of return volatility spillover effect between different markets,of course,this paper is mainly to the market daily closing price of logarithm rate of return as the research index.When a market fluctuations occur,not only with his own early fluctuations,fluctuations occur even before by other market,the mutual volatility transmission in different markets,the so-called volatility spillover effect.I am in the market three new board to board and the main board market index HS 300 index yield as the research object,using DCC-GARCH and BEKK-GARCH model and empirical research on these two markets,the results are as follows:Firstly,there is the post peak characteristics and volatility clustering phenomena between three to end as the representative of the new third market index and the HS 300 index as the representative of the motherboard market.Through the Grainger causality test and cointegration test on the relationship between the two markets of the US,the conclusion is that between the two markets there are bidirectional volatility spillover and two market imbalance will occur temporarily in the short term,but in the long term to see,between the two there is a market equilibrium.Secondly,with the linkage relationship through the establishment of DCC-GARCH model of three new board market and main board market fluctuations,based on the study of the overall samples,we found that between the two market dynamic correlation will change with the change of time,there is also two characteristics of the market rate of return time series are time-varying then,from the sample stages under study,the dynamic correlation between the return series are sometimes larger and sometimes smaller,but the dynamic correlation between the two markets is always there,also has a time-varying characteristic.Thirdly,the volatility spillover effect and the establishment of the new board of the board while the BEKK-GARCH model of the HS 300 index we can see that under the overall samples,we found that the variable volatility spillover effect between the two markets of the return series of large and not very significant,and persistence in short-term and volatility.The new san board market volatility spillover effect is stronger than the motherboard market,but statistically not significant,we focus on the sample was divided into stages.From the stage of the market,through the research of the new board motherboard market index and the HS 300 index found that in the short term volatility spillover effect between the two markets have the opposite trend,in the downward phase of the strongest volatility spillover effect of the new third board market,and in the adjustment and the upward phase,the volatility spillover effect to the HS 300 index as the representative of the motherboard market most strongly. |
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