T+0交易制度的计算实验研究

利用计算实验方法考察T+0交易制度对市场质量的影响.实验结果表明,无论是在正常还是异常波动的市场中,相对于T+1,T+0制度降低了日内波动性、增加了日内流动性和定价效率,因而改善了市场质量.这是由于在T+1制度下,投资者买入股票后,如果当天的市场价格发生较大波动或其预测价格发生了变化,投资者无法进行日内卖出,只能把需要当天卖出的订单累积到下一天早盘集中卖出,从而导致市场价格发生大的波动,如果由此又触发其他投资者的止损点,会导致市场进一步下跌并加大市场波动.T+0制度则避免了上述问题,使得基本价值波动能够在日内消化,同时活跃的日内交易又改善了流动性,从而提高了市场质量.

An agent-based model for the impact of the T+0 trading mechanism on market quality

This paper employs agent-based modeling to study the impact of the T+0 trading mechanism on market quality.The artificial stock market is built up according to the investor characteristics and market microstructure of Chinese stock markets.The experiment results show that when compared to T+1, T+0 increases pricing efficiency and market liquidity, and reduces market volatility, which in turn improves market quality.The reason is that T+1 does not allow investors to sell when they have observed large changes in the fundamental value, so that they need to sell in the next opening session, which in turn generates large price impacts and high volatility;while T+0 solves this problem since the large change of fundamental value can release in intraday transactions, and the actively intraday order submission also increases market liquidity.The results suggest that T+0 can be applied in EFT markets of large stock indexes as a pilot project.