The"T+1"Trading Rule and the Chinese Warrant Market Overprice
研究中国股市T+1交易规则如何降低股票流动性并导致权证市场溢价，为监管者和投资者提供参考。
In this paper,we examine a unique trading restriction in the Chinese stock market;theT +trading rule,which requires stock buyers to wait at least until the next trading day to sell their stocks.The Chinese warrant market follows theT +0trading rule,which allows buyers to sell their warrants at any time.We demonstrate that theT +1rule reduces the stock market liquidity and causes the stock transaction prices to exhibit an illiquidity discount.We also demonstrate that less liquid stocks imply stronger overpricing in their corresponding warrants.Finally,we offer some policy suggestions based on the empirical results in our study.