An Empirical Study On The Spillover Effect For China’s Stock Market Of Main Board And Sci-tech Innovation Board

Since the reform of the registration-based IPO system in China’s stock market,people have paid more and more attention to the financing of small and medium-sized enterprises.Although the emergence of new markets and market systems has made China’s stock market more mature,the selection and competition of funds for scarce resources is accompanied by the possibility of risk spillover and infection.Therefore,clarifying the risk transmission level and paths of the markets between the registration-based IPO system and approval system plays an important role in identifying,monitoring,avoiding and resolving the risk spillover,also stabilizing economic and financial security and further promoting capital market reform in the short term.In the long run,it will be an effective support to further narrow the gap between China’s capital market and mature capital markets,broaden and strengthen financing channels,and resolve the financing problems of small and medium-sized enterprises.In order to analyze the risk infection level and direction of the two IPO systems and trading systems existing in China’s capital market after the emergence of the registration-based IPO system,this paper leads to the spillover effect to analyze the risk infection,and identify the mean spillover and volatility spillover level and transmission paths of the return series of the three market indexes of Shanghai Stock Exchange(SSE)main board,Shenzhen Stock Exchange(SZSE)main board and SSE Sci-tech Innovation board when receiving the impact,explore the role of the three markets in the process of risk infection.By taking the daily closing price data of Shanghai Securities Composite Index(000001),Shenzhen Securities Component Index(399001)and SSE Science and Technology Innovation Board 50 Index(000688)for two years as the starting point,this paper analyzes the mean spillover effect and volatility spillover effect of the logarithmic return data of the closing price through asymmetric VAR-BEKK-GARCH model:(1)First,the VAR model is used as the mean model to measure the level and direction of mean spillover among the three markets,and the characteristics and mechanism of mean transmission are obtained;Then Granger test is carried out on the return series of the three market indexes to judge whether there is a significant Granger causality between them;Then,the impulse response analysis of the three market index return series is carried out to explore the changes in the current value or future value of the return of the Science-Technology and Innovation board under the impact of the three market mean spillover standard error terms;Finally,the variance decomposition method is used to decompose the variance of the return variable of the Science-Technology and Innovation board in the VAR model into the corresponding noise term of each board to analyze the contribution of each board to mean impact of the Science-Technology and Innovation board.(2)The asymmetric BEKK-GARCH model is used as the variance model to measure the level and paths of volatility spillover effect between the three markets,obtain the transmission characteristics and mechanism of volatility agglomeration and volatility persistence effect between the three markets,and then use the asymmetric method to measure the asymmetric manifestations of volatility spillover in the three markets.The results show that:(1)VAR model suggests that SSE and SZSE not only have direct and one-way rate of return risk infection to the Sci-tech Innovation board,but also SSE and SZSE can act as transmission intermediaries for each other and have indirect rate of return risk infection to the Sci-tech Innovation board;Granger test suggests that the logarithmic returns of the main boards of SSE and SZSE are Granger reasons for the logarithmic returns of the Sci-tech Innovation board,not vice versa,indicating that the main boards of SSE and SZSE are the sources of mean risk infection of the Sci-tech Innovation board;Impulse response analysis suggests that SSE and SZSE intervene in the Sci-tech Innovation board and have a one-way impact on the yield series of the Sci-tech Innovation board,indicating that SSE and SZSE do have risk infection on the yield of Sci-tech Innovation Board in the short term;Variance decomposition suggests that the biggest contribution to the impact on the yield of the Sci-tech Innovation board is itself,followed by the main boards of SSE and SZSE,indicating that the Sci-tech Innovation board itself is the main source of its yield risk,and then will be infected by the yield risk from SZSE.(2)The asymmetric BEKK-GARCH model suggests that the agglomeration of volatility infection is transmitted from the main board to the Sci-tech Innovation board,and there is two-way transmission between the main board and the Sci-tech Innovation board in terms of the persistence of volatility infection;There is significant asymmetry in volatility infection.Finally,based on the research conclusion of spillover effect,this paper depicts the manifestations of risk infection,so as to provide reasonable suggestions for policy makers,companies and investors.