论庄股识别——基于人均市值指标的实证检验

The Identification of Stock Manipulation

庄家做庄、股评荐庄、散户跟庄近年来在国内股票市场愈演愈烈。本文系统分析了做庄的类型和操作手法,结合国内股票市场的交易制度,总结出做庄的两个主要特征——股权集中度增加和价格上升,进一步构造了识别庄股的适宜指标——人均市值。本文以A股市场为研究对象,采用事件研究的方法,证明人均市值高的股票组合存在显著的异常收益,因此人均市值可以有效识别庄股,为监管部门提高监管效率,预防股价操纵提供新的监测指标。

It is well known that the investment activities are severely distorted in the domestic stock markets in recent years. Manipulators artificially influence the stock prices, whereas, the columnists reconmaend manipulated stocks, and individual investors pursue these stocks delightedly. What a crazy scene! After systematically analyzing the process of manipulation, we summarize two inevitable characteristics that are, increasing concentration ratio of stocks and the rise in stock prices. Combining these two features, we construct a new indicator of identifying stock manipulations, the market value per stockholder （MVPS）. With the approach of event study, we prove that the group of stocks with the highest MVPS does have significant abnormal returns, whereas the other four groups of stocks show normal behavior. Obviously, MVPS is an effective indicator to identify suspicious manipulated stocks and can help the SEC to improve the efficiency of supervising stock manipulation and prevent stock manipulation eventually.