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The “T+1” Trading Rule and Put‐Call Disparity in China

Author

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  • Hongyi Yang
  • Zhiyu Chen
  • Xinying Zhang
  • Yun Xu

Abstract

This article investigates how the “T+1” trading rule affects put‐call disparity (PCD) in the Chinese market. The Chinese stock market is subject to the unique “T+1” trading rule, while the options market is not. This provides a valuable opportunity to study the impact of the selling constraint imposed by this rule. We construct synthetic ETFs and measure the levels of PCDs. PCDs of all underlying ETFs are significantly higher at the market's open than at its close and exhibit a downward intraday trend. Moreover, the differences in PCDs between the market's open and close are highly correlated with the underlying ETFs' volatility, speculative trading activity, and limits to arbitrage. We further confirm our results by analyzing overnight and intraday returns of the synthetic and underlying ETFs, as well as the bases of stock index futures. We highlight the significant influence of trading mechanisms on asset price formation.

Suggested Citation

  • Hongyi Yang & Zhiyu Chen & Xinying Zhang & Yun Xu, 2025. "The “T+1” Trading Rule and Put‐Call Disparity in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(12), pages 2314-2331, December.
    • Handle: RePEc:wly:jfutmk:v:45:y:2025:i:12:p:2314-2331
    DOI: 10.1002/fut.70039
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