Analysis On The Volatility Of New Stock Yield In The Growth Enterprise Market

On October 30,2009,China's GEM was officially listed.On the one hand,the launch of the GEM has brought many listed SMEs,especially technology-based SMEs,with the convenience of listing financing,which has promoted the fast-track of these companies.On the other hand,it also brings new investment channels and more investment options for institutional investors and individual investors.The highest point of the GEM index is 3982.25 points,which appeared in 2015.Its lowest point is 539.66 points,which appeared in 2012.In less than three years,the difference between the two is nearly 3443 points,showing the fluctuation of the GEM.The rate is very high.The author of this paper thinks that the first-day earnings(IPO underpricing rate)of the GEM's new share issuance does not reflect the pricing efficiency of the GEM IPO.Although the volatility of the first-day yield of the new shares of the GEM is more disturbed by human factors,as time goes by,the price will gradually reflect the value of the stock itself.To this end,based on the full understanding and reference to traditional research methods,this paper decided to extend the collection interval of the GEM stock data,and to minimize the policy by studying the volatility of the first month(21 trading days)of the GEM.It stipulates the impact of the first-day yield of the new stocks on the GEM on the alternative aspects of IPO pricing efficiency,thus more fully and accurately reflecting the initial rate of return on the new shares of the GEM.After eliminating the invalid GEM stocks,this paper selects the relevant data of the closing prices of the first 21 trading days of the 719 new shares listed on the GEM from the end of 2009 to the end of 2018.First,the historical chart of the GEM from June 2010 to December 2018 is depicted.Secondly,the first-month average initial rate of return and standard deviation of the 719 stock IPOs were calculated using statistical methods.Again,use the relevant data to find the correlation between the average and volatility of the first month's yield of the new GEM stocks.Then,using the ARMA model combined with the EGARCH model to explore the initial rate of return on the GEM IPO and its impact on the distribution of time series changes.Finally,this paper proposes some policy recommendations for the development of the GEM market.