T+1交易制度、卖空约束和日度换手率效应  

T+1 Trading Rule,Short-sale Constraints and Turnover Effect on Daily Frequency

作　　者：薛冰 张兵[1] 王婉菁 XUE Bing;ZHANG Bing;WANG Wanjing(Business School,Nanjing University,Nanjing 210093,China)

机构地区：[1]南京大学商学院

出　　处：《金融评论》2020年第5期70-90,125,126,共23页Chinese Review of Financial Studies

摘　　要：本文从日度层面探究A股市场的换手率效应。受T+1交易制度和卖空约束的影响,当日买入股票的投资者无法进行卖出交易,认为股票价格被高估的悲观投资者也无法通过卖空交易参与股票交易,因此在A股市场中,换手率不仅衡量了当日交易中乐观投资者的交易活跃程度,同样也衡量了当日流通股中受T+1交易制度限制无法卖出的比例。根据换手率的这一性质,本文发现高换手率股票在当日有着更高的收益率。但是在下一交易日开盘时,由于投资者重新拥有卖出股票的权利,收益立即发生反转,高换手率股票在下一交易日的隔夜收益率更低。并且由于低隔夜收益率在收益率形成过程中占据主导作用,产生了A股市场日度层面的换手率效应:换手率与下一交易日预期收益具有负向关系。本文进一步对A+H交叉上市股票进行检验,发现A+H股在实行T+0交易制度、卖空约束较弱的香港市场,不存在日度层面的换手率效应。Due to T+1 trading rule and short-sale constraints,the investors who buy stocks in China’s A-share market today can’t sell these stocks on the same day and pessimistic investors can’t sell overpriced stocks that they don’t own.As a result,turnover rate is endowed with new meaning by T+1 trading rule:it not only measures the transaction activities of optimistic investors in A-share market,but also the ratio of stocks restricted by T+1 trading rule.Based on the empirical tests of trading data in A-share market from 2011 to 2019,we find that stocks with higher turnover rate tend to have higher returns on that day,but there is negative relationship between the turnover rate and stock’s return in the next trading day.We also find that there is no turnover effect on daily frequency of AH cross-listing stocks in H-share market,which adopts T+0 trading rule and has weaker short-sale constraints.

关 键 词：换手率 T+1交易制度 卖空约束 

分 类 号：F832.51[经济管理—金融学]