An Empirical Research On Chinese A Share's The Stock Return Seasonal Effect

This paper selects the closing data of the Shanghai A share and Shenzhen A shares, Shanghai 50, small plates, using Descriptive statistics,Linear model(by Dummy variable) and Nonlinear model (GARCH model) to research the day of week effect and monthly effect,and I discover there are day of week effect and monthly effect in A-share market.Shanghai A share and Shenzhen A share, Shanghai 50, small plates all have positive Monday effect and positive Wednesday effect,so week effect is nothing to do with company size.But Shenzhen A share is somewhat different, Shenzhen A share does not have Monday effect,but has Wednesday effect and Thursday effect.Our A share also has higt yield in February,March and April,but by Empirical Analysis,I discover Shanghai A share and Shenzhen A share have April effect.But I discover Shanghai 50 does not have positive April effect,it may because the sample size is too small. small plates also does not have positive April effect,but has positve December effect. All in all,our A share has significant seasonal effect, China's stock market has not reached the weak effective.