Research On Volatility Spillover Effect Of China’s STAR Market Based On BEKK-GARCH Model

China’s securities market includes the main board,the science and technology innovation board(STAR-Market),the small and medium-sized board market(SME Market),and the growth enterprise market(GEM).Among them,the STAR board is characterized by the implementation of the registration system,differentiated shareholding structure and scientific and technological attributes.The construction of the STAR Market has positive significance for the mechanism innovation of the sector and the construction of China’s multi-level capital market.However,the STAR Market also has problems such as excessive IPO premium,fraudulent listing and excessive speculation,corporate governance risks and sector liquidity.In addition,because in the financial market,different sectors are affected by systemic and non-systematic risk events,there will be different degrees of reaction under the effects of information cross-market dissemination and financial contagion.This makes the fluctuation of the sector not only affected by its own factors,but also affected by the fluctuation of other sectors.In particular,the Covid-19 has caused a systematic impact on the stock market.Therefore,in the context of Covid-19 epidemic and the special positioning of the science and technology innovation board,this paper uses the BEKK-GARCH model to study the volatility spillover relationship between the Sci-Tech Innovation Board and the Shenzhen Main Board,Shanghai Main Board,SME Board,and GEM,including the overall volatility spillover effect from 2019 to 2021,as well as the staged spillover effect,in order to provide a reference for analyzing the market effectiveness and linkage of these sectors.The empirical results show that whether it is a full-sample analysis or a staged analysis,there are two-way volatility spillover effects between STAR market and the other four boards,and the science and technology innovation board is in the dominant party of volatility overflow.However,there are also some differences in the empirical results.Specifically:(1)Under the full sample study,the fluctuations of each sector have agglomeration and persistence.The STAR market has stronger agglomeration and weaker persistence compared to the Shenzhen Main Board,SME Board,and GEM.(2)In the phased analysis,due to the negative impact of the epidemic on the market,investor fear and financial contagion intensified,the volatility spillover effect between sectors in the first phase is stronger than that in the second phase,and the volatility spillover effect from the Shenzhen Main Board to the STAR market,Shanghai Main Board to the STAR market,the SME board to the STAR board,and the GEM to the STAR board is greater than the opposite direction.Thus,the following suggestions are given in this paper:(1)The government should attach more importance and attention to the linkage effect between the market segments,and further improve the mechanism setting of each segment so as to emphasize the characteristic positioning and characteristic development of each segment;(2)The regulatory authorities strengthen macro-prudential supervision,and strengthen the ability to prevent systemic financial risks and emergency response to black swan events;(3)Investors should fully understand the volatility spillover effect between stock markets,strengthen their own risk identification capabilities,and conduct reasonable resource allocation.