A Study Of Influencing Factors And Risk Spillover Effects In SSE Star Market

Science and technology innovation is becoming a new economic growth point,and the operation of the SSE Star market is highly valued.Because of its trading rules,investor structure,and company characteristics,the board has more obvious differences from the main board,and there is more risk in the stock market.As an important measure of stock market risk is the rate of return,it is of practical importance to study the factors affecting the rate of return and the risk spillover effect of the SSE Star market in this paper.As there is some overlap between the GEM market and the SSE Star market in terms of high-tech enterprises and scope of services,this paper selects five influencing factors from the GEM stock return influencing factors that may affect the SSE Star market return.During the period from 1 April 2019 to 30 April 2020,the data of 57 leading stocks in the GEM market were used as representatives,and after a panel unit root test,five quartiles of 0.05,0.25,0.50,0.75 and 0.95 were selected to construct a static fixed effects panel quantile regression model to obtain the influence of each influencing factor on the GEM market return at different quartiles The degree of influence of each influencing factor on the market return at different quartiles was obtained.In addition to the impact of the market’s own return,it is also necessary to consider the impact of the inter-market linkage effect on the risk of the SSE Star market.As one of the components of the A-share market,the market return of the SSE Star market is also affected by the return of the A-share market.The linkage effects and risk contagion among financial submarkets are a key concern for systemic financial risk,especially the risk spillover effects of financial submarkets under extreme conditions.This paper selects the period from April 2019 through the outbreak of the epidemic at the end of December 2019 to the end of April 2020 when the epidemic situation in China tends to ease,adopts the SSE 50 index calculation method,uses the data of 57 stocks of the SSE Star market to calculate the SSE Star index,portrays the dependence structure between the SSE Star market and the A-share market based on the Copula function,and applies the Co Va R method to analyse the extreme risk premium between the SSE Star market and the Ashare market.The Copula-TGARCH-Co Va R model was constructed to study the linkage effects and risks between the SSE Star market and the A-share market.The results of the empirical tests show that the stock turnover and turnover rate of the SSE Star market are positively correlated with the return,the PER is positively correlated with the return at the 0.05 quantile and negatively correlated with the return at the other quantile,and the company size and total asset margin are negatively correlated with the return.The spillover effects of upside and downside risks between the SSE Star and A-share markets are significantly different,with upside and downside risks increasing between the two markets during the epidemic.The SSE Star index return has a two-way,positive risk spillover effect with the SSE 50 index return.