The Statistical Analysis Of The Chinese GEM Stock Market

In October 30,2009,the China's GEM market,which has been preparing for ten years,was formally established.The establishment of the GEM market is of great significance to the construction of the multi-level capital market in China.The efficiency of the market is an important sign to measure the distribution of market information,the transaction transparency and the standard degree of market.Only when the market is efficient,information can be fully reflected in the price,and the effective allocation and optimization of capital can be realized.An effective market environment plays a significant role in the mechanism and function of the gem stock market.Therefore,statistical analysis of China's gem stock market,objectively and truly reflecting its market characteristics,has important practical significance.This paper makes an empirical analysis of the GEM market in China,and selects the closing price of the gem index from June 1,2010 to December 31,2017 and of the gem composite index from August 20,2010 to December 31,2010 as the sample data.Firstly,we use unit root test,autocorrelation test and variance ratio test method to test its weak form efficiency,the results show that China's GEM market does not have weak form efficiency.Secondly,under the premise that the GEM market is not weak form efficient,we choose to use ARMA model to eliminate the return sequence's linear correlation.Then we use the BDS test and ARCH-LM test method to test the residual sequence,the result shows that there is a conditional heteroscedasticity in the original yield sequence,then establish the ARMA-GARCH model and predict the return rate of the last month,the model fits well.Finally,the cointegration test of the logarithmic price series of the Shenzhen stock market index,the gem index and the gem comprehensive index shows that the GEM market has a long-term equilibrium relationship with the Shenzhen main board market.Then,the Granger causality test shows that the two indices representing the gem will affect each other.The GEM market will be affected by the volatility of the Shenzhen main board market,and the volatility of the GEM market will also affect the Shenzhen main board market.