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

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  • Yu Wu
  • Fang Qin

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.

Suggested Citation

  • Yu Wu & Fang Qin, 2015. "Do We Need to Recover + 0 Trading? Evidence from the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1084-1098, November.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:6:p:1084-1098
    DOI: 10.1080/1540496X.2015.1080495
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    Cited by:

    1. Qiao, Kenan & Dam, Lammertjan, 2020. "The overnight return puzzle and the “T+1” trading rule in Chinese stock markets," Journal of Financial Markets, Elsevier, vol. 50(C).
    2. Zhuwei Li & Xuejiao Lu & Yuan Fu, 2022. "Interaction influence of trading rules on the quality of stock markets: the price limit rule and day trading rule from the Shanghai and Shenzhen Stock exchanges," Applied Economics, Taylor & Francis Journals, vol. 54(56), pages 6467-6479, December.
    3. Bao, Zhengyang & Kalaycı, Kenan & Leibbrandt, Andreas & Oyarzun, Carlos, 2020. "Do regulations work? A comprehensive analysis of price limits and trading restrictions in experimental asset markets with deterministic and stochastic fundamental values," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 59-84.

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