| Since Chinese stock market was established,along with our country economy fast development by leaps and bounds,the stock market the experience cyclical rally big fall many times,in recent years,the growing and improvement of the national economy in our country plays a considerable role,and become the barometer of macro economy.In the economic system,the rational man hypothesis is the premise condition,in contrast,the stock market,the efficient market hypothesis theory in the stock market plays an irreplaceable role.The common sense of the effectiveness of the stock market,is refers to the stock market of the stock prices have accurate and timely reflect all information related to this stock.In other words,investors use technical analysis and fundamental analysis,have already can’t obtain excess profit.But in recent years,some scholars at home and abroad for their country’s stock market research found that when the stock market is more or less weeks effect,namely within a la,the yield of every day is not the same,there are differences,but this kind of difference is regular,so the investors can use this law of yield are different within a week to make stock investment,and then obtain excess profit.This phenomenon is contrary to the efficiency market hypothesis,but there is no solution,known as the stock market is a big problem.Since found weeks effect,caused the research interest of scholars both at home and abroad,various scholars have been added to the study,therefore,both on the choice of data and research method on there are so many different articles.Based on the fully absorb and draw lessons from,on the basis of predecessors research results,according to the different macroeconomic form and the important economic events happened to study phase,based on the discontinuity point of the implementation of the reform of non-tradable shares,the original sample interval can be divided into two sections,respectively before and after the implementation of the reform of non-tradable shares of Shanghai and Shenzhen stock market returns and volatility of weeks effect,thus to explore the changes of Shanghai and Shenzhen two city weeks effect,inspection after the implementation of the reform of non-tradable shares,weeks whether effect weakened or dissipate,and according to the empirical results operable policy Suggestions are given.First analysis of the characteristics of stock market in China,gives the policy Suggestions from different aspects,the main purpose is to strengthen the construction of the effectiveness of Chinese stock market.Policy Suggestions of this article is mainly from three aspects as:the first is cultivating institutional investors and individual investors;Then developing investors rational investment;The function of the last strengthen market supervisors.Practical significance of this paper is to remind the market supervisors to formulate reasonable market system and realize its function,and can help investors to develop more realistic effective investment plan,achieve the goal of its wealth.Based on September 5,2005 to March 10,2016,the Shanghai composite index and Shenzhen component index,the average yield as the research object,and on April 16,2010 the implementation of the reform of non-tradable shares as the point of division,the original data can be divided into two interval,and samples of each interval data one by one.On the research methods,this article first for everything on this interval with ADF unit root test,determine the stability of each sequence;Then the least squares estimation of virtual variables,the regression results show that the residual error exists in the autocorrelation,therefore,then the relevant inspection;And then use the ARCH model,GARCH model and GARCH-M model analysis methods,such as the data of Shanghai and Shenzhen two city were analyzed,and finally get the result.According to the empirical results it is concluded that:(1)when considering the whole sample interval,seen from the average equation,the Shenzhen stock market has significant effect of weeks,in particular show negative effect and positive effect on Friday to Monday;And the Shanghai stock market Monday showed negative effect and positive effect on Wednesday.The above results show that the csi effect,the two cities have weeks just weeks effect appeared time difference of two cities.As we can see from the results of the conditional variances,weeks effect also obviously exists in the return volatility of Shanghai and Shenzhen two city,but it took place between the two is not the same,appear on Friday and Monday respectively.(2)by the piecewise interval of empirical research found in contrast,the implementation of reform of non-tradable shares in the stock market return and the volatility of the weeks effect showed no significant effect,the effect it just changed the weeks of the specific time.Thus,equity division reform did not significantly improve the effectiveness of Chinese stock market.(3)testing of Shanghai and Shenzhen two city of the whole sample interval equity risk premium effect,the empirical results show that with the increase of stock intrinsic risk,the yield does not significantly increase,with the conventional theory of the risk premium.Innovation point of this article is:(1)in the sample interval between the partition of the data to study respectively,the cut-off point for our country in April 15,2010 on the implementation of equity division reform,to explore the implementation of the policy can improve the effectiveness of Chinese stock market.(2)also to have certain innovation in terms of the choice of data,the starting point of this article selected data for September 9,2005,before the Chinese stock market trading system for T + 0,this system is good for short-term speculation speculators operating,and share price volatility,then the implementation of T + 1 system standardizes the trading system,to a certain extent,curb speculative trading,plays an important role in the development of Chinese stock market.(3)in the research on stock market average return on the relationship and its risk,it is concluded that scholars have different point of view,that is,from the model does not appear on the asset pricing model in the so-called risk premium phenomenon.This article:the deficiency of the research method of the single in China,the group mainly using GARCH model to study,this paper continues to use the old method to study these problems,the model will have certain hysteresis,and on the variable Settings and data processing and no innovation. |
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