T+1交易机制造成负向隔夜收益率变动T+1 Trading Mechanism Causes Negative Overnight Return
张兵
摘要(Abstract)：
本文创新地发现了我国股票市场的T+1交易机制会造成负的隔夜收益的现象。T+1交易机制是我国股市独特的交易制度,运行中产生了较多的问题。T+1交易机制对于投资者意见分歧更大、风险更高、个体投资者占比更高、非流动性更强的股票影响更大,造成这些股票开盘跌幅更深。本文建议遵照国际通常做法,逐步恢复T+0交易机制。
关键词(KeyWords)： T+1交易机制;隔夜收益率;股票市场
基金项目(Foundation):
作者(Author): 张兵
DOI: 10.16513/j.cnki.cje.20191226.003
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- (1)这样可以确保开盘负收益率不是由于拆股和派息引起的。
- (1)可以建立资产定价模型分析,感谢审稿专家的建议。
- (1)上证指数在这段区间的总跌幅为17.2%,在此期间上证指数虽然出现下跌,但总体走势比较平稳,没有出现长期的急涨急跌现象。
- (1)换手率前十指数是同花顺公司推出的,具有一定的市场影响。
- (2)本文未报道出具体处理结果,作者可以通过邮件提供。