High turnover and retail investors are important characteristics of China’s stock market. Taking these two important characteristics as a new perspective, this paper discusses their impact on the monthly momentum effect of Chinese stock market. By constructing a trader model, this paper analyzes the influence of information transfer speed and stability reflecting the characteristics of turnover on the momentum effect. The empirical part constructs the total turnover days and the standard deviation of turnover rate which reflect the speed and stability of information transmission. Using the data from 1997 to 2020, it is pointed out that the faster the speed of information transmission and the worse the stability, the less significant the momentum effect is. Further analysis explores the impact of the investor structure which is the deep reason of turnover characteristics on the momentum effect. Both the theoretical and empirical results show that the lower the proportion of informed traders, the less significant the momentum effect is. The A-share market has abnormally high turnover, fast information transmission speed and poor stability. At the same time, there are many retail investors in the A-share market, so the momentum effect of A-share is not significant. This paper not only enriches the research of momentum effect, but also provides a new explanation for the insignificant monthly momentum effect in A-share market.

The T+1 trading system significantly affects investors’ interests by shaping their trading preferences and decision-making. This paper constructs a novel proxy to reflect the impact of the T+1 trading system from the perspective of trading constraints affecting investors’ trade willingness. By decomposing investors’ high-frequency trade-by-trade returns from January 2014 to June 2019, this paper empirically investigates the impact of the T+1 trading system on investors’ profit. The results show that: (1) investors who buy stocks intraday suffer significant overnight retracements, with the average retracement higher than the returns earned intraday, and the retracement is more significant during the crash; (2) the T+1 trading system positively affects the total return of investors who buy early in the day and negatively affects the total returns of investors who buy late in the day, as the T+1 trading system changes the transaction costs at different points in the day; (3) The short-selling mechanism reinforces the negative impact of the T+1 trading system on investors’ profits; (4) speculators can use the current system rules to induce retail investors to trade, and the stronger the lottery and noise characteristics of individual stocks and the higher the volume of subsequent trading days, the greater the losses of investors involved in trading. Overall, this study empirically investigates the shortcomings of the current T+1 trading system and provides insights into the reform and improvement of the basic trading system.

This paper finds and confirms that there is a significant “opening low and going high” phenomenon in Chinese A-share market. This phenomenon is only prominent in Chinese stock market, and has a significant impact on the expected return of the stock. This paper provides an explanation for this phenomenon from the perspective of trading system and investor behavior. Based on the data of listed companies in Chinese A-share market from 2006 to 2019, by means of grouping test and Fama-Macbeth regression, this paper founds that:（1） “Open low and go high” is the most common price behavior in Chinese stock market, which is negatively correlated with the expected stocks’ return;（2） T+1 trading rule is the basis for the long-term existence of “opening low and going high”, and the negative impact of “opening low and going high” on the expected return can not be completely explained by the reversal effect;（3） “Open low and go high” is driven by the trading behavior of heterogeneous investors, and the role of investor sentiment is not obvious. This study expands the perspective of asset pricing research and provides suggestions for the improvement of trading rule in Chinese stock market.