This article analyses the relation of the volatility and stock return on China stock markets using GARCH-M model, and looks for the reason why there are large volatilities and low return.

• 摘要运用GARCH-M模型对上海和深圳股票市场的市场波动特征以及市场波动和报酬间的关系进行了实证研究，探讨引起我国股票市场波动较大，收益相对较低的原因。