The Empirical Analysis Of The Liquid Black Hole In China's Growth Enterprises Market Board

Based on the basic requirements of building a multi-level capital market system in China,the China's Growth Enterprise Market is in a stage of continuous development and improvement.The risk measurement and prevention of GEM has become a new research field.In 2015,China's stock market suffered a"cascade"decline after a short period of "mad cow".In a short period of time,the market experienced thousands times of limit-up and liquidity drought.Heterogeneous fluctuations in China's stock market had awoken people to the harmfulness of liquidity risk.Based on the extreme condition of liquidity risk-the liquidity black hole,this article makes a new consideration of liquidity risk prevention in China's GEM.This article puts forward the necessity of measuring and analyzing the liquidity black hole in China's GEM from the perspective of the research of the present situation of China's GEM,which selects the gem market as the research scope,combining with related connotation of liquidity black hole.In the empirical part,this paper has used the database of Tai'an and the Wind Financial Terminal database to obtain the data,and uses Stata and Eviews and other mathematical metrology software to establish the economic model to measure the liquidity black hole in China's GEM market and its influencing factors.Then,from the point of view of perfecting the multi-level capital market,this paper analyzes the contagion effect and ways of liquidity black hole in GEM.Therefore,a comprehensive analysis of the liquidity black hole on the GEM,and make policy recommendations.The conclusions of this paper are as follows:Firstly,through the literature research method,this article summarizes the essential connotation of liquidity black hole,the risk characteristics of China's GEM and the correlation between the market segments.(1)The essence of the liquidity black hole is the extreme market phenomenon caused by the rapid evaporation of liquidity leading to market failure.(2)The reasons for the relatively high risk in China's GEM market are summarized as follows:the high volatility caused by the high growth positioning enterprises of the market,the market bubble caused by the market domination of individual investors,the homogenization of the market caused by the simplification of industry distribution and investor structure.(3)It suggests that the GEM has played a role in perfecting the multi-level capital market.However,in times of crisis,contagion effects still exist.Secondly,the binary measurement model of th e fluidity black hole is selected from the perspective of the connotation of liquidity combining with the market collapse of the binary crash measure model.The empirical analysis shows that there is a clear liquidity black hole risk in China's GEM.In addition,the scientificity of the binary metric model has been confirmed combining with the feature of the sudden drop of liquidity black hole,the feature of the price volatility is violent and asymmetric and the feature of the market volatility increases and has the clustering effect,.Thirdly,this paper analyzes the causes of liquidity black holes in GEM by comparing the main board market,combining the characteristics of GEM,selected investor structure,investor sentiment and the quality of enterprise information disclosure as influential factors.All above come to conclusion:(1)Ownership concentration is the major cause of liquidity black holes in GEM.The influence degree of individual ownership concentration is greater than that of institutional ownership concentration.(2)The optimism of the market investors would bring some liquidity to the GEM,and the high sentiment of the stock investors would increase the probability of the occurrence of the liquidity black hole.(3)The bad quality of enterprise information disclosure will increase the probability of the occurrence of the liquidity black hole.Fourthly,in the crisis period,there is contagion effect between the multi-level capital markets in China.There is a feedback contagion effect between the main board and the SME board,and there is one-way contagion effect to the main board market in the GME.In a certain sense,this paper improves the study of liquidity risk prevention in China's securities market and complements the blank of liquidity black hole research in the GEM.