Research On The Impact Of The T+1 Trading System On The Overnight Return Rate Of The Stock Market

T+1 trading system is a unique trading method in China's stock market.Since the implementation of the T+1 trading system in China's stock market on January 1,1995,the system's ability to stabilize the market has been the focus of attention from all walks of life.In the 25 years since the T+1 trading system was implemented,scholars have conducted a lot of research on the stock market volatility,stock liquidity and stock pricing efficiency.This article studies the impact of the T+1 trading system on China's stock market from the perspective of the stock market's overnight rate of return.This article uses the mainland China stock market to implement the T+1 trading system and the Hong Kong stock market to implement the T+0 trading system,and selects A+H shares are used as research object,that are cross-listed on the mainland stock market(Shanghai Stock Exchange or Shenzhen Stock Exchange)and the Hong Kong Stock Exchange.And selects the daily data from January 1,2017 to December 31,2019 are used as the research samples.First,the EGARCH model was used to compare the overnight returns of the Shanghai Composite Index,Shenzhen Component Index and Hang Seng Index.From the macro level,analyze the difference between the mainland stock market implementing the T+1 trading system and the Hong Kong stock market implementing the T+0 trading system.Second,sort out the relevant factors that may cause changes in overnight returns,that is,information asymmetry factors,liquidity risk factors,risk preference factors,demand elasticity factors,momentum factors and market system factors,combined with T+1 trading system to construct a random effect model.Examine the impact of the T+1 trading system and various factors on the overnight yield and its volatility.Finally,the industry classification of A+H cross-listed companies is conducted to examine the difference in the impact of the T+1 trading system on the overnight returns and volatility of listed companies in different industries.Based on the analysis of the model results,the conclusions drawn in this paper are as follows: First,there is a negative correlation between the T+1 trading system and overnight returns.Second,there is a negative correlation between the T+1 trading system and the volatility of overnight returns.Third,for listed companies in different industries,the T+1 trading system has different effects on overnight returns and volatility.The stronger the liquidity,the more obvious the effect of the T + 1 trading system on mitigating the volatility of overnight returns.For listed companies in the financial and mining industries,the T+1 trading system has a negative correlation with its overnight returns and volatility.For listed companies in the manufacturing,transportation,warehousing and postal industries,the T+1 trading system has a negative correlation with its overnight rate of return,and its relationship with the volatility of overnight rate of return is not statistically significant.