中国股市T+1交易制度会增加日内波动吗?——基于隔夜日内反转视角的分析

Can T+1 Trading Mechanism in Chinese Stock Market Intensify Intraday Volatility?--From the Perspective of Overnight-Intraday Reversal

T+1交易制度限制卖出权利造成股票折价。本文利用期权分解出T+1折价对收益率的边际影响,指出其引致隔夜日内反转的补偿效应,进而使得日内波动加剧。T+1折价越大,补偿效应越强,日内波动越大。利用高频数据的实证分析结果表明,T+1交易制度会引发补偿效应、造成日内波动增加,T+1折价越大日内波动越大,且在牛熊市下、控制隔夜新闻和投资者情绪后依然稳健;在卖空约束更强、异质信念更强、振幅更大时,上述关系更显著。

T+1 trading mechanism restricts the right to sell and results in price discount.This paper uses options to de-compose the marginal effect of discount on the return,and finds it results in the compensation effect of overnight-intraday reversal and intensifies the intraday volatility.The larger the T+1 discount is,the larger the intraday compensation return is and the greater the intraday volatility is.This paper uses the high-frequency data to calculate the realized volatility as a measure of intraday volatility,and empirically verifies that the T+1 trading mechanism causes the compensation effect and increases the intraday volatility.The greater the T+1 discount,the greater the intraday volatility.After controlling the market status,overnight news and investor sentiment,the conclusion is still robust.When the short-selling constraint is stronger,heterogeneous beliefs are stronger,and the amplitude is larger,the above relationship is more significant.