Do We Need to Recover + 0 Trading? Evidence from the Chinese Stock Market

Yu Wu and Fang Qin

Emerging Markets Finance and Trade, 2015, vol. 51, issue 6, 1084-1098

Abstract: In this study, we examine the effects of a change in the day trading rule from T + 0 to T + 1 for B-shares in Chinese stock market. We remove the influence of adjusting stamp taxes, which happened around the change in the day trading rule. We also apply the difference-in-difference method to remove the effects of other factors that may influence the market quality during the same period. The results show that a change in the day trading rule from T + 0 to T + 1 will increase price volatility, raise bid-ask spread, reduce the trading activity, and lower the price efficiency.

Date: 2015
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DOI: 10.1080/1540496X.2015.1080495

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