Abstract: Using the daily return data in Shanghai stock market during the year 2000,the paper has an empirical test through the extended S-S model,in order to test the relationship between the volatility for little companies or larger companies and the volatility of stock marketThe results show that the reaction for little companies and larger companies is different when the volatility in stock market gets largerTherefore,it is necessary to consider the time-varying Beta coefficient before carrying out the event study.

Key words: GJR-GARCH model, Beta coefficient, S-S model