Side-by-side Chinese-English

中国资本市场的T+1交易制度研究:隔夜收益率视角

张兵1

(1.南京大学商学院)

【摘要】中国股票市场目前采取T+1交易机制,即“当天买入股票不可以当天卖出”的交易方式。T+1交易限制了买方的当天买入后就卖出的权利,和买卖充分自由的资本市场的交易精神存在着冲突,必然产生一些问题,特别是2013年8月光大证券先乌龙买多股票随后又卖空股指期货对冲,2015年股市发生股灾发生千股跌停,2016年元月出现多次熔断,内地股市T+1交易与香港股市T+0交易并存,在推出沪深港通、沪伦通后无法与之全面对接,与T+0交易的股指期货也有内在冲突,这些都反映出T+1交易机制的问题,显然2015年为了抑制过度投机而采取的T+1交易蕴含着或产生了新的更多的风险。这种独特的T+1交易制度限制了买方当天买入后在同一天卖出的权利而造成了投资者当天买卖双方权利的不对称和开盘买入意愿低迷、卖出意愿强烈,产生负的隔夜收益率现象。在T+1交易机制下,为了激励买方购买,必须在开盘时给予折价,由此导致负的隔夜收益率。本文从隔夜收益率角度研究中国股市特有的T+1交易制度。本文实现了多处创新,首先,借助对隔夜收益率的研究,我们巧妙实现了对T+1交易机制的直接研究。其次,我们得到重要结论:T+1交易机制产生负的隔夜收益率。用证据回答了T+1交易机制的市场影响和会产生的风险。本文的研究具有较明显的应用价值,也丰富了T+1交易机制的研究手段。本文发现并证实了隔夜收益率可以作为T+1交易机制的代理变量,并发现中国股市的隔夜收益率为显著的负值,而股指期货、港股、海外主要指数的隔夜收益率通常在0附近。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、套利限制更高的股票影响更大,造成这些股票开盘跌幅更深。T+1交易机制扭曲了股票价格生成机制,更易造成熊长牛短,对于2015年以来的股灾和熔断起到了火上浇油的作用,不利于散户投资者。论文还选择了AH股两地上市的98家公司。A股和H股分别采用T+1交易制度和T+0交易制度。这些两地上市的公司,基本面相同,隔夜信息相同,受到同样的外盘影响,交易时段基本相同。论文证实交易制度不同造成AH股隔夜收益差异。所以,我们可以放弃T+1交易机制,恢复T+0交易机制,步骤上要谨慎,可以先从沪深300指数个股或者MSCI入选股票开始,最后全面恢复T+0交易机制,和成熟股市保持一致。稳妥推进T+1交易机制的逐步实施。

【关键词】 T+1交易制度;隔夜收益率;资本市场;

【DOI】

The research of trading mechanism of China’s capital market

ZHANG Bing1

(1.Business School, Nanjing University)

【Abstract】As the largest emerging stock market in the world, China’s stock market has distinct Chinese characteristics. The T + 1 trading mechanism and the price limit rule also have its particularity compared with other international stock markets. China’s stock market is the only one that adopts T + 1 trading mechanism, which means that investors buy stocks cannot sell on that day. But after 20 years development of stock market, especially the 2015 stock market crash and trading curb in January 2016, we found that there are still problems about the T + 1 trading mechanism in China’s stock market. For example, after the implementation of Shanghai-Shenzhen-Hong Kong stock connect and Shanghai-London stock connect programs, the Hong Kong stock market cannot be fully connected to the stock market in Chinese mainland. It also has internal conflict between stock index future market, where has implemented T + 0 trading mechanism. Scholars have gradually realized that the T + 1 transactions that had been taken to curb excessive speculation were likely to produce new risks. Therefore, we focused our study on these issues. We examined the impacts of T + 1 trading mechanism in a new way from the perspective of overnight returns. Under the T + 1 trading mechanism, investors buy stocks cannot sell on that day. This unrealized transaction can only be reflected in the opening price the next day, so the study on the next day’s opening returns can directly reveal the impact of T + 1 trading mechanism behind this transaction. Overnight returns are traces left by the trading mechanism of T + 1. With the overview of overnight returns, we have realized the direct study of the impact of the T + 1 trading mechanism. This new method proposed in this paper is one of important contributions and innovations of our research. Through this approach we find that overnight returns in Chinese stock markets are usually negative under the T + 1 trading mechanism. We find the overnight return is a good proxy variable for the T + 1 trading mechanism in China’s stock market. Comparing with other stock market, we find that the overnight return of China’s stock market is significantly negative, while it is almost equal to 0 in the stock index futures market and other international stock markets. Moreover, the T + 1 trading mechanism has a greater impact on stocks which have investors with greater disagreement, higher risk, higher proportions of individual investors, higher arbitrage restrictions and more illiquidity, resulting in a greater decline in the open price of stocks. The T + 1 trading mechanism distorts the stock price formation mechanism and creates a situation of long period of bear market and short period of bull market. It makes the stock market crash and trading curb in 2015 worsen, and is not conducive to the individual investors. This paper also finds firstly that there exists great difference of overnight returns of Chinese A and H shares cross-listed companies. The overnight returns of A and H shares cross-listed companies in the Chinese A-share market are typically negative and significantly lower than those in the H-share market. The unique trading mechanism brings out obvious daily price patterns in Chinese A-share market. Therefore, the T + 1 trading mechanism can be abandoned and make the T + 0 trading mechanism restored. We can start by setting up pilot of particular stock that contained in the CSI300 or MSCI, and then spreading the T + 0 trading mechanism to the whole stock market. Learning from the institutional arrangements, investor access, account classification and trading frequency of the T + 0 trading mechanism of the mature stock market, regulators in China’s stock market should carry out various institutional arrangements, appropriately strengthen the education and management of investors, and carry out the T + 1 trading mechanism gradually.

【Keywords】 T + 1 trading mechanism; overnight returns; stock market;

【DOI】

Download this article
This Article

ISSN:1002-5502

CN: 11-1235/F

Vol 36, No. 12, Pages 26-35+51+36

December 2020

Downloads:0

Share
Article Outline

Abstract