Comparative Research Based On The Market Record Of SHA?SHB On Market Quality Of T+1 Trading System And T+0 Trading System

Stock Market is one of the most important part of the modern capital market.It's fluctuation always influence the economy and the society.In China,although the stock market is starting late,but the speed rise of the market is obvious to all.In the past 30 years,it provides investors with platfoems,it provides enterprises with a lot of money,it helps the economic system reform.It contributes a lot to the country's economic construction.Microstructure Theory of Financial Market shows the trading system will influence the price.And the market quality is the most important part of the theory.It is a comprehensive summarize of the stock market.So we can always judge the fit trading system through comparising the different market quality under the different trading system.So,to the issue that should the stock market recover the T+0 trading system.Through the research and analysis,we can come to a conclusion.Market quality evaluation system include a lot of aspects.Quantitative analysis can depict the condition of the stock market.The text establish the evaluation system from the Fluidity,volatility and validity.We compare the stock market under the different trading system.The result of the research shows that T+0 trading system make the market more fluidity,more volatility and more validity.The study on the comparison between the market under different trading system,the text choose Amihud liquidity index as a measure of market liquidity.And choose Mann-Whitney inspection to significant differences.In the volatility comparison of the different samples,This paper selects the GARCH model to fit the yields in different markets,respectively,calculate and compare their volatility.Same with mann-Whitney inspection to the significant differences of the two samples.In both the effectiveness of the inspection,Article weak type validation method is one of the runs test was carried out on the market sample data under different system research and analysis.Summarize the empirical analysis conclusion and combining with the present status of the stock market in China,we can put forward the our country stock market trading system should be chosen and to match the current development of trading system itself.We can makethe conclusion that Chinese stock market should choose T+1 trading system at present.