Can T+1 Trading Mechanism in Chinese Stock Market Intensify Intraday Volatility?——From the Perspective of Overnight-Intraday Reversal
T+1 trading mechanism restricts the right to sell and results in price discount.This paper uses options to de-compose the marginal effect of discount on the return,and finds it results in the compensation effect of overnight-intraday reversal and intensifies the intraday volatility.The larger the T+1 discount is,the larger the intraday compensation return is and the greater the intraday volatility is.This paper uses the high-frequency data to calculate the realized volatility as a measure of intraday volatility,and empirically verifies that the T+1 trading mechanism causes the compensation effect and increases the intraday volatility.The greater the T+1 discount,the greater the intraday volatility.After controlling the market status,overnight news and investor sentiment,the conclusion is still robust.When the short-selling constraint is stronger,heterogeneous beliefs are stronger,and the amplitude is larger,the above relationship is more significant.
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