摘要：在我国以解决中小企业融资难等问题为目的而创立的中小板与创业板推动了中小企业发展。但是两个市场的上市条件、服务对象的不同又使他们发挥着不同的作用。本文通过运用GARCH模型对两个市场收益率波动进行对比分析，得出中小板与创业板两个市场都存在较为明显的ARCH效应的结论；不仅中小板的风险溢价要高于创业板，而且中小板的收益率波动也要高于创业板；虽然知道中小板的市场准入条件要比创业板市场的准入条件更加严格，但是在预期风险面前，收益率波动以及由此带来的投资风险仍然要明显于创业板市场，可见中小板与创业板之间并非存在必然的联系。提出在我国未来经济发展中中小板和创业板除了在发挥基础作用外,更要注重两个板块的内在联系和过渡。

关键词  中小板, 创业板, 收益率, GARCH模型

ABSTRACT：In our country, to address issues such as financing difficulties of SMEs and the creation of small plates and for the purpose of promoting the development of SMEs . But two different listing requirements, the target markets and enable them to play a different role. In this paper, by using GARCH model to simulate the two market return volatility analysis, it is concluded that small and medium-sized board and gem is evident in the two markets of the ARCH effect; Not only small and medium-sized plate of the risk premium is higher than the gem, and small and medium-sized plate yield fluctuation is higher than the gem; Although know the market access conditions of small and medium-sized plate is more strict than the growth enterprise market access requirements, but in front of expected risk, yield fluctuation, and the resulting investment risks are still apparent in the growth enterprise market, small and medium-sized plate visible there is not necessarily associated with the gem.In the future development of economy in our country the small board and gemexcept in the play to the basic role, more attention should be paid to the inner links and the transition plate two.

Key words: Small and medium-sized plate ，Gem ，Yields ，GARCH model