Research on Volatility and Risk Transmission Mechanism ofChiNext Index Returns Based on a VAR Model

Abstract

This study investigates the return volatility and risk transmission mechanisms of the ChiNext market using a Vector Autoregression (VAR) model. By analyzing interactions with the main board index, money supply (M2), and short-term interest rates (R007), we find that ChiNext volatility is highly endogenous and characterized by significant volatility clustering. Additionally, the main board exerts a strong positive risk spillover effect on the ChiNext, a cross-market linkage that strengthened following the registration-based IPO reform. While interest rate fluctuations significantly impact ChiNext valuations, the direct effect of M2 is mild. Verified through robustness tests, these findings provide essential empirical insights for investors optimizing asset allocation and regulators managing cross-market systemic risks.