Research On The Influence Mechanism Of The Pilot Of Registration System On The ChiNext Board For Stock Market Volatility

Since December 2015,after seven years of exploration,the full implementation of the stock issue registration system finally began to be formally implemented on February 17 this year.As the basic system of the main global capital market,the comprehensive implementation of the registration system in China’s stock market means that China’s new issues system is in line with the international comprehensive,also means that the Chinese capital market real marketization times.From the experience of the past,every major reform of the capital market system will have a great influence on the stock market volatility.Therefore,how the start of the comprehensive registration system reform may affect the stock market volatility in our country,and how the mechanism is,is the core issue of this thesis.Secondly,how to identify the rational and irrational fluctuations of the stock market under the system reform,and how to timely discover and deal with the possible stock market volatility risk is also an issue to be explored in this thesis.Since there is not enough time for practice at the beginning of the comprehensive registration system,this thesis,through comparative analysis of the reform policy of the GEM pilot registration system and the comprehensive registration system,believes that the reform ideas of the two are the same,which has high reference significance.Therefore,by referring to the experience of the GEM pilot registration system reform,the impact of the reform of the registration system on the volatility of the stock market in the implementation process and the mechanism.Specifically,this thesis first adopts PSM-DID model,based on the daily data of Shenzhen stocks in two years before and after the GEM pilot registration system,uses GARCH(1,1)model to measure stock price volatility,and takes Shenzhen main board as the comparison of GEM to explore the impact of registration system reform on stock market volatility.Secondly,from the perspective of investors,issuers and pricing parties,the thesis explores the impact mechanism of registration system reform on stock market volatility,and constructs a recursive effect model to analyze the differences of its impact mechanism,and at the same time,distinguish rational and irrational fluctuations according to the mechanism analysis.The results show that,although the reform of registration system will bring significant emotional volatility to the stock market in the short term,in the long run,the reform of registration system can improve the level of information disclosure,not only can increase the trading volatility of the market,that is,fully achieve the purpose of activating the market,but also can inhibit the irrational emotional volatility.The reform of registration system improves the efficiency of market pricing,which also alleviates the stock price fluctuation caused by pricing deviation.On the whole,the reform of registration system can improve the effectiveness of our capital market from various aspects and fully realize the function and purpose of the reform of capital market system.Based on the empirical research results,this thesis puts forward relevant policy suggestions for preventing and resolving the stock market volatility risks that may occur in the comprehensive implementation of the registration system from the perspectives of investor public opinion,information disclosure and off-line inquiry.