A unique 'T+1 trading rule' in China: Theory and evidence

Ming Guo; Zhan Li; Zhiyong Tu

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A unique 'T+1 trading rule' in China: Theory and evidence

机译：中国独特的“ T + 1交易规则”：理论与证据

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Unique to the world, China adopts a "T+ 1 trading rule", which prevents investors from selling stocks bought on the same day. We develop a dynamic price manipulation model to study the effects of the "T+ 1 trading rule". Compared to the "T + 0 trading rule", which allows investors to buy and sell the same stocks during the same day, we show that the "T+ 1 trading rule" reduces the total trading volume and price volatility, and improves the trend chasers' welfare when trend-chasing is strong. An empirical test using data on China's B-share stock market supports the model's theoretical predictions.

机译：中国采用世界上独一无二的“ T + 1交易规则”，该规则禁止投资者出售当天购买的股票。我们开发了一个动态的价格操纵模型来研究“ T + 1交易规则”的影响。与允许投资者在同一天买卖相同股票的“ T + 0交易规则”相比，我们表明“ T + 1交易规则”减少了总交易量和价格波动，并改善了趋势追踪者追逐潮流时的福利。使用中国B股市场数据进行的实证检验支持该模型的理论预测。

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来源
《Journal of banking & finance》 |2012年第2期|p.575-583|共9页
作者
Ming Guo; Zhan Li; Zhiyong Tu;
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作者单位

Shanghai Institute of Advanced Finance, Shanghai Jiaotong University, Shanghai, China;

Department of Economics, W.P. Carey School of Business, Arizona State University, USA;

HSBC School of Business, Peking University, Shenzhen, China;

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原文格式 PDF
正文语种 eng
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关键词
T + 1 trading rule; trading volume; volatility; trend-chasing;

机译：T + 1交易规则;交易量;挥发性;趋势追赶;

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A unique 'T+1 trading rule' in China: Theory and evidence

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