| Since the 1990 s,China’s capital market has been developing in the direction of legalization,marketization and internationalization.In order to better support scientific and technological innovation,promote high-quality and sustainable development of China’s economy and society,and promote the market-oriented and effective reform of the capital market,the central economic work conference deliberated and adopted the overall implementation plan for the reform of the gem and the pilot registration system on April 27,2020.The core of the reform of the gem is to solve the problems such as the difficulty of listing and financing of small and medium-sized innovative enterprises,the lack of systematic norms of the information disclosure system,the irrational speculation of investors,the low cost of illegal and illegal intermediary institutions and the rationality of the rise and fall restrictions,so as to promote the long-term stable and healthy development of the capital market.Based on this,combined with the specific measures of the registration system reform,this paper qualitatively analyzes the impact of the registration system reform on the gem on the market,and quantitatively analyzes the impact on the index and individual stock volatility.Firstly,this paper introduces the basic situation and development status of gem,and expounds the theoretical basis of gem volatility.Combined with the specific measures of registration system reform and relevant economic theories,this paper analyzes the impact of this reform on the volatility of gem and its mechanism.Secondly,through the statistical description of the market performance after the reform,it is found that the reform did not cause abnormal fluctuations in the yield of the gem index,but significantly increased the trading volume of the gem index.The number of individual stocks listed after the implementation of the registration system has increased significantly in the short term.The financial data of individual stocks listed under the registration system is better than those listed under the approval system.The listing financial standards are not the main reason why many enterprises have not successfully listed before.Finally,this paper further carried out the empirical research on the impact of the registration system reform on the gem volatility,using the double difference method and multiple linear regression to study the impact of the registration system reform on the gem index volatility and the listed individual stock volatility.The empirical results of index volatility show that the volatility of gem index shows obvious agglomeration,peak and thick tail and leverage effect.The registration system reform has greatly increased the trading volume of gem index without increasing its volatility.Whether from the volatility of return or the regression results of index amplitude,the net policy effect of registration system reform has an inhibitory effect on the volatility.From the empirical results of individual stock volatility,the reform of the registration system has improved the initial volatility level of individual stocks.Specifically,the volatility of individual stocks listed through the registration system is significantly higher than that of individual stocks listed under the approval system,the initial return level of IPO is higher,and the new stocks that cancel the rise and fall limit five days before listing show greater volatility.The newly listed individual stocks need a period of adaptation and adjustment for the implementation of the relevant systems and rules of the registration system.The relaxation of the price limit to 20% did not aggravate the fluctuation of individual stocks.This paper timely combs and summarizes the short-term impact of the registration system reform on the gem,objectively evaluates the effectiveness of the registration system reform,and provides a preliminary reference for the full implementation of the registration system reform in the future. |
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