新三板与沪深股市价格时变联动关系的研究

Empirical Research on the Time-varying Linkage Relationship between the New Third Board Market and the Shanghai and Shenzhen Stock Markets

基于沪深股市和新三板市场指数研究发现,沪深股市在联动关系中发挥主导作用,上证综指和深证成指对三板做市指数具有显著的单向价格引导;中小板或创业板指数与三板做市指数之间表现出双向的长期价格引导。中小板或创业板相对于新三板市场的价格引导贡献度受波动率影响显著,与其自身波动率负相关,与新三板市场波动率正相关。作为我国多层次资本市场的重要组成部分,新三板市场定价机制有待进一步发展和完善。

Based on the indices of the Shanghai and Shenzhen stock markets and the New Third Board market,It is found that the Shanghai and Shenzhen stock markets play a leading role in the linkage relationship between the two markets,both the Shanghai Composite Index and Shenzhen Component Index have significant one-way leadership on the Third Board Market Making Index.There exists a two-way long-term price leadership between the Small and Medium-sized Plate Index or the GEM Index and the Third Board Market Making Index.Price guide contribution between the Small and Medium-sized board or GEM and the Third Board Market Making Index can be influenced by volatility significantly,which has negative correlation with their own volatility and positive correlation with the volatility of the new Third Board market.As an important part of China's multi-level capital market,the pricing mechanism of the New Third Board market needs further development and improvement.