The Asymmetric Shocks And Corelation Research On Small And Medium Plate Index In China

As a transitional form of the Growth enterprise market, the Small and Medium Plate Index in the early and the motherboard market very close, so we can draw lessons from the analysis of the SME board stock market in China. The author selected the small plate KLCI (399101) closing index data as the sample sequence daily inspection from CITIC SECURITIES (ZHEJIANG). The Small and Medium Plate Index establish random walk model and find that the residual sequence has a ARCH effect, through the GARCH-M model coefficient standard mean difference in the equation estimated value is positive. The Small and Medium Plate Index should be proportional to its risk.For higher risk assets, high risk compensation investors require higher return to undertake. The conditional variance equation GARCH-M model show the effect of wave impact will continue for a long period of time decay. Through the EGARCH model drawing out information curves corresponding to the same degree, that under the shock wave of bad news, Billy the good news for the Small and Medium Plate Index bigger. The estimation results show that the asymmetric effect is only temporary use of asymmetric CARCH model. Finally, comparing their AIC, SC and log-likelihood values obtained, the log-likelihood of the asymmetric CARCH model values increased, while AIC, SC value decreased,.SO the asymmetric CARCH model is better than the prediction result of EGARCH model.In the correlation research,we use VAR model to study the related effects between small and medium-sized plate index and Shanghai Composite Index, Shenzhen Com-ponent Index, the Heng Seng Index and B-Share Index. The results shows that there is a co-integration relationship between small and medium-sized plate index and Shang-hai Composite Index, Shenzhen Component Index, the Heng Seng Index and B-Share Index.The Granger short causal relationship test explain small and medium-sized plate index can lead Shanghai Composite Index and Shenzhen Component Index,and Shang-hai Composite Index and Shenzhen Component Index can also lead small and medium-sized plate index. The Response of Shanghai Composite Index to the strike of small and medium-sized plate index is smaller than the other three,but the Response of small and medium-sized plate index to the strike of Shanghai and Shenzhen Component Index have a long time effect.It is also found that operational risks of Shanghai and Shenzhen Component Index have obvious effect on small and medium-sized enterprise based on variance decomposition.Through the study of asymmetry to our country small and medium-sized board index and correlation, we find that the main reason of China’s small and medium-sized stock market refusing weak-form efficiency assumption is that investors lack rationality and the existence of "noise traders" makes the stock market asymmetry, In the case of the small and medium-sized stock market’s earnings prospects remain uncertain, we hope this analysis will give investors and policy makers to bring some enlightenment.