Risk And Performance Eavaluation Of Overall Listed Corporation In Stock Ownership Separation Around Reform

Stock Ownership Separation is the thing that appears with special situation ofour country, it can give an impetus to reform the capitalistic market if we solvethe thorny problem of it, but it doesn't represent that all radical problems of oursecurity market were resolved. Now capitalism market has to reform further infinancial product innovation, trade system, issue system and so on .This paper selected two representative corporations, which have alreadyrealized their plans of TStock TOwnership Separation, one is Shanghai automobilecorporation; the other is Baolilai corporation .The contents of this paper could bedivided into four parts. Firstly , we introduced definitions and current situation ofthe reformation of Stock Ownership Separation, Secondly we gave knowledgeabout the used models widely in Analysis of Financial Time Series, especially inGARCH models, which paved way for further study; The following we set upadequate GARCH models for the log returns series before and after corporations'reformation . And made a comparison on the average risk level between the twoperiods, at last, we discuss the relationship between the log return of stock andthe turnover rate of change. Then we made two conclusions. The one is that thelog return of stock and the turnover rate of change are correlative; the other isthat the log return of stock is sensitive to the turnover rate of change forShanghai Automobile Corporation and Baolilai after reformation, This indicatethat stock market of our country is more and more perfect and legal system ismore and more generalï¼›Finally we chose one stock from the Shanghai SecurityMarket and Shenzhen Security Market respectively. And then we compared therisk and return levels between them. Our results indicated that the risk level ofShanghai Automobile Corporation increased and the log return increased too atthe same time, but the risk level of Baolilai corporation decreased, and the logreturn increased, therefore, the comprehensive above analyzes, we thought the GShangqi and G baolilai corporation reform programs have been successful.