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当前国际主要证券市场均采取T+0交易制度,与国际市场交易规则保持一致有利于中国金融业加深国际化水平。本文重点研究T+1交易制度特有的优势和劣势,使用双重差分模型分析B股市场在采取T+1交易制度前后波动性和流动性的变化。T+1交易制度的实施短期内效果不明显,长期可以一定程度上减小股票市场的波动性,但同时降低了流动性。建议率先在中国B股市场采取T+0交易制度,并逐步实现全面放开。完善股票市场法律法规、合理的监管审核机制、引导理性高效地交易等都可以替代T+1交易制度所具备的稳定股票市场优势。
At present, all the major international securities markets adopt the T + 0 trading system, which is in line with the international market trading rules, which is conducive to deepening the internationalization of China’s financial industry. This paper focuses on the unique strengths and weaknesses of the T + 1 trading system and analyzes the volatility and liquidity changes of the B-share market before and after adopting the T + 1 trading system by using the double difference model. The effect of the T + 1 trading system is not obvious in the short term, which can reduce the volatility of the stock market to a certain extent in the long run, but at the same time reduce the liquidity. Proposed to take the lead in the Chinese B-share market to adopt T +0 trading system, and gradually realize the full liberalization. Improving stock market laws and regulations, reasonable regulatory review mechanism, and guiding rational and efficient transactions can all replace the stable stock market advantage that the T + 1 trading system possesses.