Research On The Volatility Spillover Effect Of The New Third Board Market Under The Background Of Hiera Rchical System

The New Third Board tiered system policy was implemented on June 27,2016.The implementation of this policy has an impact on the volatility of stocks in the New Third Board market and the volatility spillover effect between the Shanghai and Shenzhen stock markets.Studying the volatility spillover effect between the New Third Board market and the Shanghai and Shenzhen markets under the background of stratified system will help investors optimize their investment portfolio and is of great significance for improving the stability of China's financial market in the future.Therefore,this paper selects the GARCH-M and BEKK-GARCH measurement methods to analyze the volatility of the stock price of the New Third Board and the changes in the volatility spillover effect of the New Third Board market on the major stock markets of Shanghai and Shenzhen before and after the implementation of the tiered system.In this paper,the stock price index of the three-board market index from January 5,2015 to September 28,2018 was used as a sample to conduct the stationarity test and autocorrelation test,and then the empirical analysis of GARCH-M was conducted to study the stock price volatility.Then use the three-board index to represent the new three-board market,the GEM index represents the GEM,the CSI 300 index represents the main board market,and the small and medium-sized board index represents the small and medium-sized board market to study the volatility spillover effect.The sample selection period is from January 5 to 2018,2015.On September 28th,using the yield data of the above five indexes,the ARCH effect test was carried out,the GARCH model was established,and the BEKK-GARCH model was used to measure the volatility spillover between the three boards and the Shanghai and Shenzhen stock markets.The research results show th at after the implementation of the tiered system,the risk volatility of the New Third Board market is significantly reduced,and the volatility spillover effect between it and the Shanghai and Shenzhen stock markets is weakened.Finally,this paper combines the empirical results to make recommendations on how to better play the institutional effect of the tiered system in the new three-board market.