Research On Price Discovery And Influencing Factors Between The New Third Board And Main Board Based On Time-Varying Coefficient Model

In this paper,based on the vector error correction model,the price discovery function between the new third board and the main board is studied.Further,the vector error correction model is improved into the time-varying coefficient vector error correction model to study the time-varying dynamic price discovery between the two markets.The parameters are estimated by Kalman filter algorithm and maximum likelihood estimation method,and the common factor weight is used to measure the price-guided contribution of each market in the price relationship.It is found that both in the vector error correction model of constant coefficient and in the vector error model of time-varying coefficient,the two markets have significant price discovery function,and the ratio and direction of each index to equilibrium price adjustment are time-varying.In the price relationship of the time-varying coefficient,the adjustment ratio of the two market proxy variables is greatly affected by the impact of the 2015 stock market disaster.The two proxy variables in the New Third Board market and the proxy variables of the main board market have a Significant two-way guidance relationship,from the perspective of the adjustment of the mean,the main board plays a leading role in the price relationship.Compared with the new third board,the main board has a greater contribution;from the price relationship between the new three board and the main board,in the price relationship,for the third board index and the third board marketing index,the reaction and processing speed of the third board marketing index is faster than the third board index.For the contribution of the price relationship between the two markets,namely the amihud liquidity ratio and the volatility,which are tested and compared by the non-parametric statistical test method Mann Whitney U test and Wilcoxon.For the amihud liquidity ratio,there is a significant difference in the amihud liquidity ratio between the main board and the new three board.The amhiud liquidity ratio of the main board is much smaller than that of the new three board,that is,the liquidity of the main board is much stronger than that of the new third board.For the volatility,the volatility of the main board and the new third board also has a significant difference,the volatility of the main board market is greater than the volatility of the new third board;the volatility of the three board index is greater than the three board market index.The relative amihud liquidity ratio and volatility have a significant impact on the contribution of the price relationship between the new third board and the main board.For the relative amhirod liquidity ratio,the contribution to the third board marketing index has a significant impact.The greater the ratio of the amihud liquidity,the greater the contribution of the new third board market index,but the contribution to the third board index has no significant effect.This also shows that the third board marketing index has stronger liquidity than the third board index.For the volatility,the contribution of the new third board is negatively correlated with its own volatility,and also negatively related to the volatility of the main board.That is,the greater the volatility,the lower the contribution of the new third board,and volatility of the main board makes the contribution of the third board changed.