“T+1”交易制度和中国权证市场溢价  

The"T+1"Trading Rule and the Chinese Warrant Market Overprice

作　　者：边江泽[1] 宿铁[2,3] 

机构地区：[1]对外经济贸易大学金融学院,北京100029 [2]美国迈阿密大学金融系 [3]中南财经政法大学新华保险学院

出　　处：《金融研究》2010年第6期143-161,共19页Journal of Financial Research

基　　金：对外经济贸易大学"211"三期重大课题"后危机时代的中国金融市场发展"项目;上海证券交易所第十九期上证联合研究项目资助

摘　　要：本文中,我们探讨了中国股票市场上一项独特的交易限制:"T+1"交易制度。这一制度要求股票购买者至少到第二天才能将股票卖出。而中国的权证市场则服从"T+0"的交易制度,即购买者可以随时将权证卖出。我们证明"T+1"制度会降低股票市场流动性,使股票的价格中存在低流动性折价。我们还证明股票流动性和相应权证的溢价之间存在着负相关的关系。最后,基于文中的实证结果,我们给出了一些政策上的建议。In this paper, we examine a unique trading restriction in the Chinese stock market： the ＂T ＋ 1 ＂ trading rule, which requires stock buyers to wait at least until the next trading day to sell their stocks. The Chinese warrant market follows the ＂T ＋ 0＂ trading rule, which allows buyers to sell their warrants at any time. We demonstrate that the ＂T ＋ 1＂ rule reduces the stock market liquidity and causes the stock transaction prices to exhibit an illiquidity discount. We also demonstrate that less liquid stocks imply stronger overpricing in their corresponding warrants. Finally, we offer some policy suggestions based on the empirical results in our study.

关 键 词：T+1 权证溢价 低流动性折价 交易限制 资产定价 

分 类 号：F224[经济管理—国民经济] F832.5