A Study On The Test Of The Bubbles In The Stock Market Of China’s GEM

In October 30,2009,China GEM stock market in Shenzhen Stock Exchange was formally established.The main purpose of GEM stock market is to deal with the small innovative high-tech enterprises financing needs and the establishment of the new stock market is an important part of the multi-level capital market in China.GEM since its inception,having accompanied by many problems,such as the "three high" phenomenon,including high issue price,high price earnings ratio and high raise funds.The operation of the entire market has also been in extreme excitement,investors trading behavior tends to be irrational.The problem about the existence of bubbles on the GEM has been suffering from different arguments among the academic circles.Based on this point of view,the article mainly used econometric methods based on the quantitative economics to study market GEM from the establishment of the market to now,to know whether there is a bubble,is the bubble easy to form,when the bubble burst and what measures to avoid the stock market bubbles and many other practical problems.Firstly,this paper tries to make a preliminary assessment and analysis about the bubble state of GEM from four aspects,stock market price index,price earnings ratio,net rate and turnover rate respectively,compared with the mature gem market Nasdaq.Then,using econometric methods to study the gem stock bubble based on the fluctuations of GEM Composite Index.This paper process data with R statistical software,and use the run test,unit root test,cointegration test,GSADF test to estimate China’s stock market gem bubble exists,the inclination to generate bubbles and to achieve real-time inspection of the gem stock market bubble.Simultaneously,according to the empirical results,the article tries to make a brief analysis about the cause of the emergence and burst of the bubble,combined with the macro economic and policy background at that time.Finally,the paper make some advice and policy recommendations to lower the level of the stock market bubble of the GEM,from the perspective of listed companies,investors point of view,government regulatory point of view respectively.The conclusion is,the run test results show that the stock data of China’s GEM has the characteristics of obvious change with the trend,prone to changes in the same direction continuously,namely the price fluctuation of China’s stock market trend is easy to form and produce foam;Co integration relationship of unit root test results show that there is no long-term equilibrium relationships between the GEM index with some macroeconomic variables,which is the representatives of the trend of fundamental value of the stock market.That means there is no long-term stable equilibrium relationship between stock price and its fundamental value,there may be foam on the stock market.According to the latest bubble test method GSADF and PSY bubble point test methods under the framework of GSADF,during the period from July 2010 to March 2016,the week data of GEM composite index were detected three bubbles in total,respectively,from January 2014 to February 2014,from March 2015 to July 2015,from October 2015 to January 2016.Combined with actual movements in GEM and the corresponding macro background analysis,PSY bubble point test methods and adjusted PSY bubble point test methods has good test effects on the China GEM stocks foam.Also it can realize the real-time inspection of the bubbles on the GEM,which has great significance on the construction of China’s gem stock market bubble early warning mechanism.