Research On "T+1" Trading System In China’s Stock Market

In the context of the rapid development of China’s economy,the importance of the stock market to rationally allocate resources and serve the real economy has become more prominent.The stock market trading system is the most basic and important rule,and its applicability is related to the long-term development of the entire market.As the only country in the world that uses the "T+1" trading system,the transformation of the stock market trading system has always been the focus of discussion at the two sessions in recent years.Practical and academic circles are also constantly discussing and researching the reform of "T+0".Research on the shortcomings of China’s "T+1" trading system at this stage has certain significance for the reform of the trading system.Therefore,this paper analyzes the impact of the trading system on the stock returns of listed companies by taking the overnight rate of return as a proxy variable of the "T+1" trading system.Based on behavioral finance theory,price equilibrium theory and capital asset pricing theory,this paper verifies the fact that China’s stock market overnight rate of return is negative for a long time by means of cumulative overnight rate of return and mean-T test.And based on the samples of A+H shares from January 1,2017 to June30,2021 and all A shares from January 1,2007 to December 31,2020,through the investment portfolio and capital asset pricing model The idea of cross-examination is to study the "T+1" trading system of China’s stock market.This paper finds that the cumulative return and mean test results show that the overnight return of China’s stock market has been significantly negative for a long time after 2007,while the overnight return of Hong Kong stocks,Taiwan index and major overseas indexes traded at "T+0" is usually around 0.,or a positive number;the overnight return of A shares in A+H shares is significantly lower than that of H shares,but the total return of A shares is higher than that of H shares;A stock portfolio with a higher shareholding ratio of individual investors has a lower overnight rate of return,and the greater the negative value of the stock portfolio’s overnight rate of return indicates that the “ T+1 ” trading system has a greater negative impact on it,and there is a significant return on the A-share market.Overnight-Intraday reversal.The "T+1" trading system will not reduce market risks,but will instead aggregate risks and put small and medium investors at a more disadvantaged position.To this end,this article suggests starting from the trial implementation of the single "T+0" trading system on the Sci-Tech Innovation Board,and then starting with the Shanghai Composite Index and the CSI 300 Index,and on the premise of fully protecting market security and investors’ interests,At the height of establishing an international capital market,actively and steadily restore the "T+0" trading mechanism in stages.