A Study On The Month-of-the-Year Effect Of Industry Groups In A-share Based On GARCH-Class Models

With the rapid development of China's economy and financial market,the position of stock market in China's financial market becomes more and more important.The efficient market hypothesis(EMH),which has been widely accepted by scholars and investors,believes that investors in the market are absolutely rational and the stock market responds to information extremely quickly,so no one can obtain excess returns through speculation.However,in reality,there are some market anomalies,which go against the traditional EMH hypothesis.Month effect refers to the phenomenon that the yield of a month is significantly higher or lower than the average monthly yield of other months.Most of the existing researches focus on the month effect of the market index,while this paper subdivides the research points into industry sectors to do empirical research on the month effect of China's industry sectors.By choosing 2010-2018 monthly yield series data of industry groups in our country,based on the GARCH model,compare GARCH models under three different distribution model fitting degree,selecting the most appropriate model fitting,whether the industry groups of observation and shenzhen two city is in effect,and analyzes the reasons of effect exists in various sectors,so as to put forward policy Suggestions and advice.