T+1交易制度如何影响股市投资者利益--基于高频逐笔交易收益分解的研究  

How Does the T+1 Trading System Affect the Interests of Stock Market Investors—Evidence from the Decomposition of High-frequency Trade-by-trade Returns

作　　者：朱红兵 张兵[2] Hongbing Zhu;Bing Zhang(Hohai University,School of Business;Nanjing University,School of Business)

机构地区：[1]河海大学商学院财务金融系 [2]南京大学商学院金融与保险学系

出　　处：《经济学报》2022年第2期166-200,共35页China Journal of Economics

基　　金：中央高校基本科研业务费专项资金项目“T+1交易制度下的股票资产定价研究”(项目编号:B210201043)的支持。

摘　　要：T+1交易制度通过影响投资者交易偏好与决策行为对投资者利益产生了重大影响。本文从交易约束影响投资者交易意愿出发,构造并度量了T+1交易制度理论变量。通过分解2014年1月至2019年6月的投资者高频逐笔交易收益,本文实证研究了T+1交易制度对投资者的利益影响。研究发现:(1)投资者日内买入股票会承受大幅度的隔夜回撤,平均回撤幅度要高于日内赚取的收益,且股灾时期回撤幅度更大;(2)T+1交易制度正向影响早盘投资者的总收益而负向影响尾盘投资者的总收益,原因在于T+1交易制度改变了日内不同时刻的交易成本;(3)融券卖空机制未能缓解T+1交易制度对投资者卖出权利约束的负面作用,强化了T+1交易制度对投资者收益的负向影响;(4)投机炒作者能充分利用制度规则诱导散户交易,个股的彩票、噪音特征越强、后续交易日的成交量越大,参与交易的投资者的亏损越大。本文的研究不仅检验发现了现行T+1交易制度的不足,更为基础交易制度改革完善提供了启示。The T+1 trading system significantly affects investors’ interests by shaping their trading preferences and decision-making. This paper constructs a novel proxy to reflect the impact of the T+1 trading system from the perspective of trading constraints affecting investors’ trade willingness. By decomposing investors’ high-frequency trade-by-trade returns from January 2014 to June 2019, this paper empirically investigates the impact of the T+1 trading system on investors’ profit. The results show that:(1) investors who buy stocks intraday suffer significant overnight retracements, with the average retracement higher than the returns earned intraday, and the retracement is more significant during the crash;(2) the T+1 trading system positively affects the total return of investors who buy early in the day and negatively affects the total returns of investors who buy late in the day, as the T+1 trading system changes the transaction costs at different points in the day;(3) The short-selling mechanism reinforces the negative impact of the T+1 trading system on investors’ profits;(4) speculators can use the current system rules to induce retail investors to trade, and the stronger the lottery and noise characteristics of individual stocks and the higher the volume of subsequent trading days, the greater the losses of investors involved in trading. Overall, this study empirically investigates the shortcomings of the current T+1 trading system and provides insights into the reform and improvement of the basic trading system.

关 键 词：T+1交易制度 投资者利益 高频逐笔交易 收益分解 

分 类 号：F832.51[经济管理—金融学]