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An Empirical Study on the Stock Price Volatility of Small and Medium Enterprise Board in China

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  • Qishui Chi
  • Jieyi Huo

Abstract

This article utilizes structural change method to examine the fluctuation characteristics of stock prices of China¡¯s small and medium enterprises. This study indicates that time series of Chinese small and medium-sized enterprises stock prices are not characterized by mean reversion. Therefore, the policy bailouts in the market including the rescue package of the government in June 2015 are ineffective because they are offset by other factors. The long-run growth of stock prices depends on the supply and demand situation in capital market as well as the growth of national economy but has no connection with the policy bailouts.

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  • Qishui Chi & Jieyi Huo, 2017. "An Empirical Study on the Stock Price Volatility of Small and Medium Enterprise Board in China," Research in World Economy, Research in World Economy, Sciedu Press, vol. 8(2), pages 12-24, December.
    • Handle: RePEc:jfr:rwe111:v:8:y:2017:i:2:p:12-24
    DOI: 10.5430/rwe.v8n2p12
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