Moreover, the predictability on Shanghai and Shenzhen stock markets is examined by GARCH-M model.The conclusion is that predictability exists in the two stock markets.

• 同时，运用GARCH-M模型对中国沪深股票市场是否具有可预测性进行了实证检验，检验结果表明中国沪深股票市场具有可预测性。