T+1交易机制造成负向隔夜收益率变动

T+1 Trading Mechanism Causes Negative Overnight Return

本文创新地发现了我国股票市场的T+1交易机制会造成负的隔夜收益的现象。T+1交易机制是我国股市独特的交易制度,运行中产生了较多的问题。T+1交易机制对于投资者意见分歧更大、风险更高、个体投资者占比更高、非流动性更强的股票影响更大,造成这些股票开盘跌幅更深。本文建议遵照国际通常做法,逐步恢复T+0交易机制。

The T+1 trading mechanism is a unique trading system in China s stock market,which causes many problems to the market.It is difficult to study this issue directly.We examine the overnight return of Chinese stock market and find it s a good proxy for the T+1 trading mechanism.We have found that the overnight return of China s stock market is significantly negative.Moreover,the T+1 trading mechanism has a greater impact on investors with greater disagreement,higher risk,higher individual investor ratio and less liquid,resulting in a greater decline in the open price of stocks.Thus,we suggest a gradual recovery of T+0 trading mechanism in line with international practice.