我国中小企业板块和主板关系的实证分析

An Empirical Analysis on Relationship between Chinese Small or Mid-sized Enterprises Board and Main Board

为了研究我国中小企业板块和主板市场之间的关系,通过建立GARCH模型发现了:由于目前我国中小企业板与主板相比规模较小,成交量不大,中小企业板上市对主板市场波动性的影响并不大。但通过协整检验及误差修正模型,得出结论:在中小板指和主板市场股票指数之间存在着某种长期稳定关系。这对我国建立多层次的资本市场、提高其运作效率是不利的。

Chinese small or mid-sized enterprises board has been set up in Shenzhen Stock Exchange for more than two years. The relationship between Chinese small or mid-sized enterprises board and main board will effect the perfection, efficiency and stability of Chinese capital market. This article sets up an GARCH model and discovers ： as the scale and trade volume of small or mid-sized enterprises board are smaller than main board, the landings of small or mid-sized enterprises board hasn＇t great influence on the volatility of the main board. But from the co-integration test and ECM model, we found that there is some long-term stable relationship between the indexes of small or mid-sized enterprises board and main board, which is disadvantageous for China to estimate a muhilayer-market system and improve its efficiency.