ISSN: 2225-8329
Open access
This study presents an Autoregressive Distributed Lag (ARDL) approach to ascertain the implication of ChiNext stock on main board stock market. The empirical data cover 12 years period, from 2010 to 2021, in daily basis. ARDL method is used in this study to estimate the short run and long run relationship between ChiNext stock index and main board stock index. The main board stock index is the dependent variable and ChiNext stock index and volume transaction as the independent variables. Among other, correlation analysis, Augmented Dickey unit root test, cointegration test, error correction model (ECM) and Long-run Equation test are carried out in this study. Long run results show that have negative relationship between ChiNext stock index and Main Board Stock Market Index. This finding suggests that the growth of ChiNext might be at the expense of the main board's performance, potentially due to capital diversion. The study contributes to the literature by providing robust evidence of inter-market dynamics in China’s stock market. For practitioners, our findings offer insights into market integration and risk management. We recommend future research to incorporate additional stock indices and consider macroeconomic factors to further validate these dynamics. This study is crucial for investors, policymakers, and market regulators seeking to understand and navigate the complex interactions within China's capital markets.
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