Research On The Effectiveness Of The Growth Enterprise Market In China

The GEM is an important part of Chinese capital market,providing financial channels for SMEs and high-tech enterprises,and providing investors with a richer investment channel.As an important pillar of the modern securities market theory system,the effective market theory has always occupied an important position in modern financial economics theory.It has constructed a scientific,rigorous and standardized model for the formation mechanism of stock prices and the change of expected returns.Therefore,research on the effectiveness of the GEM is not only theoretical but also of practical significance.In this paper,the three methods of sequence correlation test,runs test and unit root test are selected to test the weak validity of the GEM index and the GEM index.The results show that there is no autocorrelation in the GEM index,but the GEM lags of 1st,13th,26th and 28th without correlation test,and there is autocorrelation.The P-values of the GEM index and the GEM composite run test are 0.900 and 0.947,both of which are greater than 5%,thus both sequences are random.The ADF values of the GEM index and the GEM composite index are-19.8711 and-18.5012,which are less than the critical values of 1%,5%,and 10%.so sequences are not subject to random walk.In summary,the results show that the overall GEM has not fully achieved weak effectiveness.But with the improvement of the capital market,market effectiveness has gradually increased.For the first time,we construct a second-order autoregressive coefficient state space model to study the dynamic changes of the weak validity of the GEM.It is found that the time-varying coefficients₁and₂tend to be stable after2016 and gradually converge to 0,the market has acheived weak effectiveness.Then,through the event research method,the semi-strength of the GEM is studied.It is found that the average excess return rate of the total sample is greater than 0 from 5 days before the announcement of the annual report to the day before the event,and the cumulative excess return rate gradually increased,the market has not yet reached the semi-strong effect.Therefore,based on the results of the paper test,the government should speed up the industrial optimization reform of the market,strengthen the supervision of the behavioral norms of listed companies,and improve the information disclosure mechanism.At the same time,investors should make full use of the public information of listed companies to formulate appropriate investment strategies and make timely adjustments according to the degree of market effectiveness.