Study On The Spillover Effect Of China’s Main Board,Growth Enterprise Market And Science And Technology Board Market

The multi-level capital market system has been continuously enriched as China’s capital market reform has progressed.In July 2019,the stock market officially launched the Sci-Tech Innovation Board(STAR),which is independent of the existing board market,as a major component of Chinese capital market.The establishment of STAR can be seen as revitalizing China’s capital market and providing a significant source of power for China’s technological development and innovation.Through no less than three years of advancement,the relationship between the Science and Technology Venture Board and the main board,as well as the GEM market,has gradually grown and the degree of integration has increased.However,the emergence of new boards is frequently accompanied by certain risks,and the original market will almost certainly experience volatility.Investors are also concerned about the spillover relationship between the three major board markets,namely the Main Board,GEM,and STAR.Due to the relatively short period since STAR was created,most studies on the spillover effects between the STAR and the main board and GEM markets in China have focused on theoretical analysis,with fewer studies conducted systematically on the three.As a result,this paper conducts a thorough investigation into the spillover effect between China’s main board,GEM,and STAR.In this paper,the theoretical basis of spillover effect among the Main Board,GEM,and STAR markets is firstly expounded through economic basic theory and market contagion theory,and the realistic basis of spillover effect is expounded through the intersection of market positioning and industry distribution.Then,based on the theoretical and practical basis,the transmission mechanism of spillover effect among the three markets is analyzed.Secondly,empirical tests were conducted.The empirical part selects the representative indices of the Main Board,GEM,and STAR markets,respectively: CSI300,GEM,and STAR 50,and investigates the mean and volatility spillover effects,dynamic correlation,and the degree of risk spillover between the three markets,respectively,by using the VAR-BEK(DCC)GARCH-Co Va R model,and uses the VAR model to explore the factors affecting the correlation between the three.The results of the empirical evidence show that:(1)As for the mean and volatility spillover effects,there is a significant one-way mean spillover effect between the main board and the GEM,and between the GEM and the STAR,and the spillover direction is from the former to the latter;There is a significant two-way volatility spillover effect among the three.(2)From the perspective of risk spillover effects,the risk spillover of the GEM market dominates the market combination with the Main Board market,and the risk spillover of the GEM to both the Main Board and the GEM is greater than the risk spillover of the latter two to the GEM;the systemic risk faced by the GEM market and the marginal risk spillover to the other two markets are both the largest.(3)In terms of dynamic correlation,the correlation between the Main Board market and the GEM market is the strongest,the GEM market and the STEM market is the second strongest,and the Main Board market and the STEM market is the smallest.(4)Market liquidity and risk affect the correlation between markets,while the effects of interest rate,exchange rate and turnover rate are relatively weak,and the effect of the size of liquidity and risk of each market on the correlation between markets has different effects.The impact of liquidity and risk on the correlation between markets is asymmetric.Finally,the findings of this paper not only help investors,government departments and financial market regulators in China’s stock market to understand the transmission of spillover effects among various segments of China’s stock market as well as the direction and extent of the transmission,but also help them to understand the influencing factors that affect the spillover effects between various segments of China’s stock market.Based on the basis of the findings of the research,this paper provides suggestions to investors,government departments and financial market regulators,and provides an outlook on the future research direction of the paper.