“T+1”交易规则下的典型“T+0”账户研究

A Study on Day Trading under “T+1” Trading Rules

2016年以来,"T+0"交易模式日益盛行,引发市场关注。"T+0"交易策略实质是在A股"T+1"交易规则下的一种超短线策略。本文在识别深市A股典型"T+0"账户的基础上,从"T+0"账户的持股、交易和下单等角度,分析了"T+0"账户的交易行为特征及其市场影响。本文的结果表明,"T+0"交易盛行的原因是震荡市下"T+0"交易具有较大的获利空间,随着市场波动性不断下降,"T+0"交易已经开始降温;"T+0"账户多为逆势交易,客观上平抑了市场波动。

Day trading refers to the practice of buying and selling fi nancial instruments within the same trading day, which is a very short-term strategy under the ＂T＋1＂ rule of China＇s stock market backswing transaction.Day trading has been increasingly prevalent since 2016, which causes the market＇s high attention.This paper identifies typical day traders in Shenzhen Stock Exchange, and analyzes the trading behavior and its market impact of these day traders by utilizing a unique dataset of the accountlevel holing, trading and order data.We document that the prevalence of the day trading strategy is due to its reasonable profi t margin in certain market conditions. Most day traders use contrarian strategies, which helps to the stabilize the stock market.