中国股市主板与创业板市场溢出效应研究

Study on the Spillover Effect of Main Board and GEM Stock Market

从收益性和流动性两方面,研究了中国股市创业板开板后初期第一阶段、成熟期第二阶段主板和创业板市场之间的溢出效应。结果表明:第一阶段,主板的收益率可以显著溢出到创业板,而第二阶段则无显著溢出;第一阶段,创业板的流动性可以显著溢出到主板市场,而第二阶段,两个市场的流动性关联加强,互为显著溢出。在此基础上,指出我国股市创业板应注重上市公司质量与扩容速度。

This paper discusses the spillover effect regarding return and liquidity caused between Main Board and Growth Enterprise Market at the beginning stage and the maturity stage respectively. The conclusion addressed that at the beginning stage of Growth Enterprise Market, Main Board＇ s return can substantially spillover GEM＇s return, but not at the maturity stage. Also, at the beginning stage, the liquidity of GEM can spillover to that of Main Board, while at the maturity stage, the correlation between two markets＇ liquidities increases and either one can spillover to the other. Thus, it is advised that more attention should be paid to the qualities of listed companies and the expansion rate.