中文摘要：

利用计算实验方法考察T＋0交易制度对市场质量的影响．实验结果表明，无论是在正常还是异常波动的市场中，相对于T＋1，T＋0制度降低了日内波动性、增加了日内流动性和定价效率，因而改善了市场质量．这是由于在T＋1制度下，投资者买入股票后，如果当天的市场价格发生较大波动或其预测价格发生了变化，投资者无法进行日内卖出，只能把需要当天卖出的订单累积到下一天早盘集中卖出，从而导致市场价格发生大的波动，如果由此又触发其他投资者的止损点，会导致市场进一步下跌并加大市场波动．T＋0制度则避免了上述问题，使得基本价值波动能够在日内消化，同时活跃的日内交易又改善了流动性，从而提高了市场质量．

英文摘要：

This paper employs agent-based modeling to study the impact of the T ＋ 0 trading mechanism on market quality. The artificial stock market is built up according to the investor characteristics and market mi- crostructure of Chinese stock markets. The experiment results show that when compared to T ＋ 1, T ＋ 0 increa- ses pricing efficiency and market liquidity, and reduces market volatility, which in turn improves market qual- ity. The reason is that T ＋ 1 does not allow investors to sell when they have observed large changes in the fun- damental value, so that they need to sell in the next opening session, which in turn generates large price im- pacts and high volatility; while T ＋ 0 solves this problem since the large change of fundamental value can re- lease in intraday transactions, and the actively intraday order submission also increases market liquidity. The results suggest that T ＋ 0 can be applied in EFT markets of large stock indexes as a pilot project.