股权分置改革是中国股票市场的一场革命及重要的金融事件,它能够推动资本市场的改革,选取了两个具有代表性已实施股权分置改革的集团公司:上海汽车和宝利来.分别对两个集团公司在股改事件窗中的股票收益序列建立了合适的GARCH类模型.通过模型的实证结果得出股改后上海汽车和宝利来的收益水平均有很大的提高,而且股票价格波动对信息的反应更加灵敏,我国股票市场有效化程度显著提高. The split share structure reform is a revolution and an important financial event in the Chinese stock market. It can promote the reform of the capital market and select two representative group companies that have implemented the split share structure reform: Shanghai Automotive and Baolilai. Respectively, set up a suitable GARCH class model for the stock return series of the two group companies in the window of stock reform event.According to the empirical results of the model, the profitability of SAIC Motor and Baolilai after the share reform have been greatly improved, and the stock Price volatility is more responsive to information, and the degree of effectiveness of the stock market in China is significantly improved.