Study On The Impact Of The T+1 Trading Mechanism In Spot Market On Stock Index Futures Market

T+0 trading mechanism,or day trading mechanism,which allows the investors to buy and sell shares in one day,is a universal trading mechanism in international markets,such as in the market of America,Europe,Hong Kong,and Taiwan.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 spot market is a historical issue,and also a unique characteristic in Chinese market.Stock index futures,the financial derivatives based on the stocks are the products of the development of the capital market at certain stage.For the stock index futures are generated based on the stock,they must be closely related.Since there is a close connection between the spot market and stock index futures market,what is the impact of the Chinese special T+1 trading mechanism in spot market on the pricing efficiency,market liquidity and market volatility of the stock index futures market? This is also the issue our research will discuss.The paper adopted the method based on the agent-based computational finance which is different from the traditional method,and built the simulation platform of China's current stock market and agent-based computational cross-market platform which includes both several stocks and stock index futures based on MASON.The paper simulated the experiment on the both platform to look out the effect on the market quality of the stock market and the stock index futures market when T+1 trading mechanism turned into T+0 trading mechanism,including the efficiency of price discovery,market liquidity and market volatility.The results showed that,compared with the T+1 trading mechanism,T+0 trading mechanism improved the efficiency of price discovery and market liquidity of stock market,but raised market volatility,consistent with the findings of most domestic scholars;T+0 trading mechanism in spot market improved the efficiency of price discovery and market liquidity of stock index futures market,but did not raise market volatility.As for the stock index futures market,we believe that we should restore the T+0 trading mechanism in stock market timely,and give full play to the T+0 trading mechanism to improve market efficiency and promote development of the stock index futures market,but pay attention to the risk of aggravating fluctuations of stock market.