都说存在股指交割日效应，作为我们程序员来说，检验一下实在是太容易了，因为日期不多，直接在Excel里面很容易计算出每个月的第3个星期五是哪一天。
(每个月的第三个星期五必定在日期为15-21日之间)
对我们来说查看一下当天的涨跌幅，也就是一个SQL语句的事情，如下：
select 日期,涨跌幅 from StockIndex where 日期 in ( '2013/6/21','2013/7/19','2013/8/16','2013/9/20','2013/10/18','2013/11/15','2013/12/20','2014/1/17','2014/2/21','2014/3/21','2014/4/18','2014/5/16', '2014/6/20','2014/7/18','2014/8/15','2014/9/19','2014/10/17','2014/11/21','2014/12/19','2015/1/16','2015/2/20','2015/3/20','2015/4/17','2015/5/15', '2015/6/19','2015/7/17')
得到数据如下：
日期 涨跌幅 2015-01-16 00:00:00 1.2001 2014-10-17 00:00:00 -0.6499 2014-12-19 00:00:00 1.6705 2014-11-21 00:00:00 1.3916 2014-08-15 00:00:00 0.9186 2014-07-18 00:00:00 0.1691 2014-06-20 00:00:00 0.1452 2015-07-17 00:00:00 3.5095 2015-06-19 00:00:00 -6.4152 2015-05-15 00:00:00 -1.5901 2014-04-18 00:00:00 -0.0542 2014-03-21 00:00:00 2.7159 2013-11-15 00:00:00 1.6815 2013-08-16 00:00:00 -0.6450 2013-07-19 00:00:00 -1.5196 2014-09-19 00:00:00 0.5839 2014-05-16 00:00:00 0.0756 2013-06-21 00:00:00 -0.5243 2015-04-17 00:00:00 2.2045 2015-03-20 00:00:00 0.9783 2013-06-21 00:00:00 -0.1404 2014-01-17 00:00:00 -1.5997 2013-12-20 00:00:00 -2.2213 2013-10-18 00:00:00 0.7472 2013-08-16 00:00:00 -0.7387 2013-07-19 00:00:00 -3.0399 2014-05-16 00:00:00 0.3936 2014-04-18 00:00:00 0.0631 2014-03-21 00:00:00 3.4777 2014-02-21 00:00:00 -1.1676 2013-11-15 00:00:00 1.8313 2014-12-19 00:00:00 -0.3570 2014-11-21 00:00:00 1.5468 2014-08-15 00:00:00 1.1170 2014-07-18 00:00:00 0.8993 2014-06-20 00:00:00 0.2140 2015-03-20 00:00:00 0.9280 2015-01-16 00:00:00 0.4277 2014-10-17 00:00:00 0.5035 2014-09-19 00:00:00 0.5332 2015-07-17 00:00:00 5.2385 2015-06-19 00:00:00 -6.0315 2015-05-15 00:00:00 -2.1932 2015-04-17 00:00:00 1.2997 2013-10-18 00:00:00 0.2393 2014-02-21 00:00:00 -1.1731 2014-01-17 00:00:00 -0.9266 2013-12-20 00:00:00 -2.0208
放在图中查看如下：
可见股指交割日对股价的影响确实有限。