The research on the stock price volatility of Chinese growth enterprise market

There is an important practical significance in studying the volatility of the GEM market from an empirical perspective. By analyzing the GEM index in a certain stage, we found that the GEM has the volatility clustering effect and leverage effect; By the co-integration test of the GEM and the Main Board Market, we find that the GEM is independent of the Main Board Market, there is no necessary connection between the two markets, while the Granger causality test shows that the GEM and the Main Board is guided each other within the short-term. Empirical analysis shows that there are larger volatility and higher risk. The management agencies need to develop more stringent regulatory mechanism to reduce the risk of the market.