T+1交易制度下的风险补偿机制与投资者福利评估OACHSSCD
Risk Compensation Mechanism and Investor Welfare Evaluation Under the T+1 Trading System:Evidence from Full-Sample Stochastic Simulations
随着资本市场基础制度改革被提上议程,T+1交易制度对普通投资者福利的影响亟待量化评估.本文构建季度多期随机交易模拟框架,基于2005-2025年4 581只非科创板A股数据,进行超过9亿次蒙特卡洛模拟,检验T+1制度下投资者风险承担与收益补偿的匹配关系.研究发现:T+1核心策略(开盘买入、次日开盘卖出)相较最优对比策略累计收益低80.85个百分点,经中国版Fama-French五因子模型调整后,该策略的α为-1.81％(t=-5.26),说明T+1制度下被动持仓风险未获得充分补偿.该效应在主板与创业板样本中均稳定,且策略B对小盘股因子存在一定暴露(SMB=0.42).研究为交易机制优化和投资者福利评估提供了量化证据.
As the reform of foundational systems in the capital market is placed on the agenda,the impact of the T+1 trading system on the welfare of ordinary investors requires urgent quantitative evaluation.This paper constructs a quarterly multi-period stochastic trading simulation framework and conducts over 900 million Monte Carlo simulations based on data from 4,581 non-STAR(Sci-Tech Innovation Board)A-share stocks from 2005 to 2025 to examine the alignment between risk-taking and return compensation under the T+1 system.The findings reveal that the core T+1 strategy(buy at open,sell at the next day's open)yields a cumulative return 80.85 percentage points lower than the optimal alternative strategy.After adjusting with a China-specific Fama-French five-factor model,the alpha of Strategy B is-1.81％(t=-5.26),indicating that passive position risk is not adequately compensated.This effect is robust across both the Main Board and ChiNext samples,and Strategy B exhibits some exposure to the small-cap factor(SMB=0.42).The study provides quantitative evidence for the optimization of trading mechanisms and the evaluation of investor welfare.
杜仑;何媛媛
丽江文化旅游学院,云南 丽江 674100丽江文化旅游学院,云南 丽江 674100
管理科学
T+1交易制度风险补偿机制投资者福利评估
T+1 trading systemrisk compensation mechanisminvestor welfare evaluation
《金融理论与教学》 2026 (4)
20-26,7
2026年丽江文化旅游学院校级本科教学改革研究项目"基于蒙特卡洛模拟的证券投资学投资能力自评体系构建与教学实践"(XYJG202617).
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