科研之友
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摘要
T+0 trading system, or day trading system, which allows the investors to buy and sell shares in one day, is a universal trading system in international markets. By contrast, T+1 trading system, which is implemented in China's stock market, allows investors to sell shares which are bought today only on the next day. T+1 trading system in spot market is a Chinese problem left over by history, and a characteristic in Chinese market. Stock index futures, the financial derivatives based on the stock, are the products of the development of the capital market at certain stage. For the stock index futures are generated based on the stock, they must be closely related. On that basis, what's the impact of the Chinese special T+1 trading system in spot market on the pricing efficiency, market liquidity and market volatility of the stock index futures market? The paper adopted the method based on the agent-based computational finance which's different from the traditional method, and built the agent-based computational cross-market platform which includes both several stocks and stock index futures based on MASON. The paper simulated the experiment on the platform to look out the effect on the market quality of the stock index futures market when T+1 trading system in spot market turned into T+0 trading system, consisting mainly of the efficiency of price discovery, market liquidity, market volatility and arbitrage investors' order submission behavior. The results showed that, compared with the T+1 trading system in spot market, T+0 trading system improved the efficiency of price discovery and market liquidity of stock index futures market, did not raise market volatility, enhance the enthusiasm of arbitrage investors' order submission behavior. From the perspective of the stock index futures market, we believe that we should restore the T+0 trading system in stock market timely, so as to active the market and improve the efficiency of market information diffusion, to promote the steady and sound environment of the stock index futures market.
- 出版日期2017-12
- 单位天津大学
