本文主要研究对象是中国A股和H股股市的春节效应。春节作为最具中国特色的传统节日，对A股和H股均有一定影响，而H股市场更接近成熟资本市场，在制度和投资者结构方面与A股均有一定差异，因此对比研究有助于改进A股市场有效性。本文主要目的是通过对春节效应的研究，对比分析中国A股和H股的市场异象和市场有效性，并基于制度差异和投资者结构差异对春节效应形成原因提出合理假设，然后利用统计学方法对假设进行检验。本文创新性主要在于A股和H股的对比视角，以及对两地春节效应差异的原因进行了解释与检验，并控制了2020年及之后新冠肺炎疫情对股市的影响。全文主要由两个部分组成，第一部分是A股和H股股市春节效应的检验，第二部分是对两地股市春节效应差异的分析与解释。在检验方面，基于前人研究成果，本文采取带虚拟变量的GARCH模型对两地股市2008年至2021年的指数数据进行检验，结果显示从整体上而言，中国A股和H股均存在显著的春节效应，A股主要集中在节前第二天和节后第一天；H股主要在节前第二天，但显著性较弱。进一步地，本文通过对A股和H股八大行业春节效应进行检验，证明两地春节效应存在结构性差异。在解释部分，本文主要针对制度差异和投资者结构差异提出了两种假设：融资融券交易假设和投资者情绪假设。对两种假设选取相应指标并在GARCH模型中加入交叉项以进行检验，证明这两种解释确实能对A股和H股春节效应有一定程度的影响。在融资融券制度差异方面，本文利用GARCH模型对比A股和H股融资融券制度差异及对春节效应的影响，证明融资融券交易对春节效应有减弱效果，有助于增强市场有效性，但A股两融交易存在失衡现象及成熟度不如H股导致融券对春节效应的减弱效果不如H股。在投资者结构差异方面，本文通过主成分分析法构建投资者的代理指标，代入GARCH模型进行回归，证实投资者情绪会增强春节效应，但由于A股和H股投资者结构差异导致投资者情绪的影响在A股表现更强，H股并不显著。最后本文基于实证结果和两地股市差异针对A股股市有效性改进提出政策建议。

This paper focuses on the Chinese New Year effects on Chinese A-share and H-share stock markets. As the most traditional festival, Chinese New Year has an impact on both A shares and H shares. In terms of trading system and investor structure, the H-share market is more similar to the mature capital market. Therefore, a comparative study contributes to improving the efficiency of the A-share market. The first purpose of this paper is to analyze the market anomalies and market efficiency of the A-share and H-share stock markets through the comparative study of the Chinese New Year effects; the second purpose is to put forward reasonable assumptions about the causes of the Chinese New Year effects based on the differences in the stock market system and investor structure. The innovation of this paper mainly lies in three parts. Firstly, this study is based on the comparative perspective of the A-share and H-share markets. Secondly, the purpose is to explain the causes of the Chinese New Year effects. Thirdly, the analysis controls the impact of the COVID-19 on the stock market in 2020 and beyond. The whole paper is composed of two parts. The first part is the test of the Chinese New Year effects, and the second part is the analysis and explanation of the difference of the Chinese New Year effects between the two stock markets. In the first part, based on previous research results, this paper adopts the GARCH model with dummy variables to test the index data of the two stock markets from 2008 to 2021. The results show that both of two markets have the Chinese New Year effects. The effect on the A-share market is significant on the second day before the festival and the first day after the festival. Meanwhile, the effect on the H-share market is mainly on the second day before the festival, but the significance of which is weaker. Furthermore, this paper tests the Chinese New Year effects on the eight major industries and proves that there are structural differences in the Chinese New Year effects between the two markets. In the second part, this paper mainly puts forward two hypotheses respectively for institutional difference and investor structure difference: the hypothesis of margin financing and securities lending system and the hypothesis of investor sentiment. The corresponding indicators are selected for the two hypotheses and cross terms are added to the GARCH model for testing. The results prove that these two explanations can indeed have an influence on the Chinese New Year Effect on the both of markets. Firstly, in terms of the assumption of the margin financing and securities lending system, this paper uses GARCH model to compare the differences of margin financing and securities lending businesses and their impacts on the Chinese New Year effects. The regression results prove that the margin financing and securities lending business has a weakening effect on the Chinese New Year effects and helps to enhance the market efficiency. However, the effect of securities lending on the Chinese New Year effects is not as good as that of the H-share market, because there is an imbalance in the margin financing and securities lending business of the A-share market and the maturity of this system is not as good as that of H-share market. Secondly, in terms of investor sentiment, this paper constructs a proxy indicator of investor sentiment through principal component analysis and substitutes it into the GARCH model for regression, which confirms that the investor sentiment can enhance the Chinese New Year effects. The impact of investor sentiment on the A-share market is stronger due to the difference in investor structure between the both of markets. Finally, based on the empirical results and the differences between the stock markets of the two places, this paper puts forward policy recommendations for the improvement of the efficiency of the A-share stock market.