The Volatility of Stock Return in GEM Broad

The GEM [Growth Enterprises Market] board has been run for two years. It has been playing an very important role in the capital market of our country. This paper we use the class of ARCH model for analysis of the stock return in GEM board. We find that it has strong volatility and the volatility lasts a long time. In the end, we provide some recommendations on GEM future development.