An Empirical Research Of The Effect Of "T+1" Trading System On Instituional Investor Sentiment To Stock Market Volatility

The China's securities market is gradually opening up,and financial products are gradually diversifying.As an important part of China's securities market,the stock market has a negligible effect on the development of China's stock market and the liquidity and profitability of financial products in the securities market.The role.At present,developed countries or regions often adopt the “T+0” trading system,and the stocks bought on the same day can be sold on the same day.In the early days of the establishment of the securities market,China also implemented the “ T+0 ”trading system.However,due to the imperfection of the entire securities market at that time,the “T+0” trading system greatly aggravated the instability of the stock market.China has changed its "T+1" trading system.The stocks bought on the same day can only be sold on the next trading day and will be used until now.Although China's stock market started late,its development speed is remarkable.After nearly 30 years of development,the stock market has been greatly improved both in the institutional system of the securities market and in the laws and regulations promulgated by the government,and significant changes have also taken place in the capital structure.The proportion of investors is growing.In today's market environment,whether the "T+1" trading system should continue to be implemented or the "T+0" trading system should be implemented,which is related to the healthy development of China's stock market.This is a question of practical significance.The key to this paper is research.After systematically sorting out domestic and foreign literatures related to“T+1”,“T+0” trading system,investor sentiment and stock market stability,it clearly defines the connotation of institutional investors and stock market stability,and clarifies different transactions.The essential difference of the system,combined with the reality of China's stock market,and in order to weaken the influence of other factors,this paper selects the daily data of the shares of the AH shares in China's cross-listed companies with a shareholding ratio greater than 10% after the implementation of the Shanghai-Hong Kong Stock Connect policy.As the research data,based on the market performance data of A shares in AH shares and the market performance data of corresponding H shares,the sample stock index reflecting the change of institutional investors' decision under different trading systems is constructed,and the sample stock turnover rate is used as a quantification.The numerical performance of the effects of different trading systems,through the comparison of the numerical performance of the sample stock exchange rate under different trading systems with the real stock market,proves to some extent the rationality of using the turnover rate to quantify the trading system.The TARCH model is used to study the influence of different trading systems on institutional investor sentiment,and the difference of this kind of influence in different market stages is compared.Then the TARCH model regression is used to fit the institutional investor sentiment as the relationship between research sentiment and stock market volatility.The emotional agent index,using the vector autoregressive model(VAR model),further dynamically analyzes the relationship between institutional investor sentiment and stock market volatility under the influence of trading system.The results of the study show that,compared with the “T+0” trading system,under the“T+1” trading system,the time for releasing institutional investors' emotions is delayed,but this delay makes the performance of emotions released when released.And through further research,it is found that the amplified emotions will bring more fluctuations to the stock market,and the duration of this effect will last longer.Therefore,considering the entry point of institutional investor sentiment,this paper believes that the "T+1" trading system is no longer suitable for China's stock market.China should be in line with the international market and implement the "T+0" trading system.