|
|||||
|
|
A unique “T + 1 trading rule” in China: Theory and evidence |
|
| Authors: | Ming Guo Zhan Li |
| Institution: | a Shanghai Institute of Advanced Finance, Shanghai Jiaotong University, Shanghai, China b Department of Economics, W.P. Carey School of Business, Arizona State University, USA c HSBC School of Business, Peking University, Shenzhen, China |
| Abstract: | Unique to the world, China adopts a “T + 1 trading rule”, which prevents investors from selling stocks bought on the same day. We develop a dynamic price manipulation model to study the effects of the “T + 1 trading rule”. Compared to the “T + 0 trading rule”, which allows investors to buy and sell the same stocks during the same day, we show that the “T + 1 trading rule” reduces the total trading volume and price volatility, and improves the trend chasers’ welfare when trend-chasing is strong. An empirical test using data on China’s B-share stock market supports the model’s theoretical predictions. |
| Keywords: | G11 G12 |
| 本文献已被 ScienceDirect 等数据库收录！ | |