Open AccessAn Empirical Analysis of Stock Price Risk in Chinese Growth Enterprises Market - A GARCH-VaR Approach
Author(s) -
Maoguo Wu,
Xin Luo
Publication year - 2016
Publication title -
european scientific journal
Language(s) - English
Resource type - Journals
eISSN - 1857-7881
pISSN - 1857-7431
DOI - 10.19044/esj.2016.v12n22p341
Subject(s) - volatility (finance) , autoregressive conditional heteroskedasticity , stock market , business , market risk , financial economics , empirical research , stock price , stock (firearms) , econometrics , monetary economics , economics , mechanical engineering , paleontology , philosophy , epistemology , horse , series (stratigraphy) , engineering , biology
The aim of Growth Enterprises Market (GEM) is to provide financing channels to burgeoning and high-technology companies which cannot be listed in the main board. GEM is a supplement to the main board. As an emerging securities market, GEM shows a unique volatility compared with the main board. The volatility of GEM has connections and differences with the main board market. Studying the price volatility of GEM contributes directly to the healthy growth of GEM and the main board. This paper investigates the risk characteristics of GEM and provides several measures to deal with the risk. In this paper, VaR based on GARCH model is utilized for empirical tests. Therefore, this paper studies the characteristics and the extent of volatility risk of GEM stock price systematically.