The Research Of The Industry Quarter Effect Between Shanghai And Shenzhen Stock Market

The sustainable growth of macro-economy largely depends on the development and the improvement of the stock market. So far,economic value brought about by the stock market whose financing supports the successive development of all industries, accounts for a larger proportion of Gross Domestic Product. However,there are many kinds of anomalies that could not be explained with traditional finance theory have happened in the stock market in recent years,it actually decrease the stock market’s efficiency and the quarter effect is one of the stock market vision.Therefore,the industries whether have the quarter effect or not and the reason why it appeared are two key issues to be solved in this paper. Thus, the thesis firstly based on the descriptive statistical analysis of quarterly yield of 18 trades in the Shanghai and Shenzhen stock market between 1997 and October of 2015, an analysis of variance model and a GARCH model are built to carry on a quantitative analysis. The analysis leads to the conclusions that animal husbandry and fishery and the financial industry have significant effect in the summer quarter, electricity, heat, gas and water production and supply industry, real estate all have autumn effect. Lastly, there is a positive winter quarter effect in the existence of information transmission, software and information technology services.Second, according to some relevant material, the author further pointed out that the reasons of animal husbandry and fishery industry,industry supply and information services industry are the natural change of seasons,holidays and consumer economic factors.And finally obtained the corresponding policy recommendations from government, regulators and investors three aspects.The author think that the government should play the role of good policy-makers and market defenders, regulators should be due diligence and has a quite clear regulatory responsibilities and investors should invest rationally in order to minimize the economic interests losses caused by the happen of stock market vision.In summary, we should treat quarter effect in industry correctly whether the government,regulators or investors.Only by doing this can we finally create a healthy stock market and promote the long-term development of China’s stock market.