T+0交易制度,是指投资者当天购买股票可在同一天卖出的一种交易制度,它是国际市场通行的交易制度.与之相 对的, T+1 交易制度是指当日买进的股票次日才能卖出,我国股票市场推行的就是T+1制度. T+1交易制度是中国市场的特色,若中国市场改为实行T+0交易制度会对市场的定价效率、流动性和波动性产生什么影响呢?文章采用区别于传统方法的计算实验金融方法,开发符合我国股票市场的计算实验仿真金融平台,进行仿真模拟实验,测试股票市场从T+1交易制度变为T+0交易制度对市场质量的影响,主要包括对市场价格发现效率、流动性及波动性的影响.研究结果表明:相较于T+1交易制度, T+0交易制度提高了股票市场的价格发现效率和流动性,但加剧了市场波动.

T+0 trading mechanism, which allows the investors to buy and sell shares in one day, is a universal trading mechanism in international markets. By contrast, T+1 trading mechanism, which is implemented in China's stock market, requires investors to wait at least until the next trading day to sell their shares. T+1 trading mechanism in stock market is a unique characteristic in Chinese market. What's the impact of T+0 trading mechanism on the pricing efficiency, market liquidity and market volatility of the stock market? This paper adopts the method based on the agent-based computational finance which's different from the traditional method, and builds the agent-based computational platform which simulated China's stock market. This paper simulates the experiment on the platform to look out the effect on the market quality of the stock market when T+1 trading mechanism in stock market turned into T+0 trading mechanism, including the efficiency of price discovery, market liquidity and market volatility. The results show that, compared with the T+1 trading mechanism, T+0 trading mechanism improves the efficiency of price discovery and market liquidity of stock index futures market, but raises market volatility.