Impact Of The Trading System ("T+1"/"T+0") On The Chinese Stock Market Volatility

The China’s security market is opening up gradually，and the financial products willbe more and more diversified. The stock market is an important part of China’s securitymarket, so the trading system of stock market will have a negligible impact on thedevelopment of China’s stock market, and the liquidity of on financial Product.At present, most of the developed countries use "T+0" trading system, it means thatwe buy one stock, we can sell it at the same day. In the early days of China’s securitymarket, our stock market also used the "T+0" trading system. However, due to theChina’s security market just started on that time, the "T+0" trading system greatlyexacerbated the instability of the stock market. Based on this, China began to carried outthe "T+1" trading system, immediately, the day you buy the stock, and the earliest dayyou sold it is the next trading day. Nowadays, our country still uses the "T+1" tradingsystem.In this paper, I used the case analysis and econometric model to study the subject ofthis paper, and designed the analytical framework that association between the stockmarket volatility and different trading systems of the stock market. In this paper, I usedthe Annual data of the A-share market, through the ordinary least squares method, madethe linear regression coefficients of the stock turnover and its Sigma, then discussed thecorrelation between turnover of stock and the sigma factor which can measure thevolatility of the stock at the different trading systems. Finally, I got the conclusions that thedifferent trading institution had no significant effect on the volatility of Chinese stockmarket.Combined with the actual situation of China’s securities market, the paper proposes"T+0" trading institution more appropriate.One hand, it can protect the interests ofinvestors, on the other hand, is conducive to the development of China’s securities market.Of course, the paper also pointed out that improving the laws and regulations ofsecurities market and enhancing the supervision of the securities market are thefundamental guarantee of the steady development of China’s securities market.