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收盘价被操纵了吗?——来自沪市高频数据的证据 被引量：3

Are Closing Prices being Manipulated? Empirical Evidence from Shanghai Stock Exchange
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摘要 本文利用买卖失衡率指标来衡量交易型市场操纵,并建立了一个收盘价操纵的检验模型。实证研究结果表明,沪市收盘时段的股价操纵现象显著多于非收盘时段,从而证实了收盘价被操纵。 By employing trade imbalance as an indicator of stock price manipulation, this paper develops a closing-price manipulation test model. Based on an empirical test on Shanghai Stock Exchange by using this model, this paper shows that the closing-stock price is being manipulated as there are remarkably more price manipulations in the closing period than in other periods.
作者 陈筱彦 魏嶷 许勤
机构地区 同济大学
出处 《南方金融》 北大核心 2010年第5期52-54,65,共4页 South China Finance
关键词 收盘价 市场操纵 买卖失衡率 Closing Price Market Manipulation Trade Imbalance
分类号 F832.51 [经济管理—金融学]
  • 相关文献

参考文献14

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  • 10刘凤元,孙培源,陈启欢.上海市场股票收盘价格的窗饰效应研究[J].证券市场导报,2003(10):65-69. 被引量：7

二级参考文献15

  • 1Harris,L.,A day- end transaction price anomaly[J].Journal of Financial and Quantitative Analysis Vol.24,No.1,March 1989,29- 45.
  • 2Felixson,K.,A.Pelli,Day end returns- stock price manipulation[J]. Journal of Multinational Financial Management 9 (1999) 95- 127.
  • 3Cushing.D,Madhavan.A,Stock returns and trading at the close[J].Journal of Financial Markets 3 (2000) 45- 67.
  • 4Hillion,Suominen, the manipulation of closing prices,faculty. insead.edu/suominen/ personnal/ Documents/brman16.pdf, 2001.
  • 5上海交通大学 上海财经大学联合课题组.证券市场收盘价格决定机制研究 [N].中国证券报,2003-10-10.
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  • 9Cherian,J.A.and R.A.Jarrow(1995),"Market Manipulation",Chapter 20 of Handbook of Operations Research and Management Science,vol.9,Finance,North-Holland.
  • 10Franklin Allen and Douglas Gale(1992),Stock-Price Manipulatin,Stock-Price Manipulation,The Review of Financial Studies,Vol.5,No.3.,pp.503-529.

共引文献7

同被引文献16

引证文献3

二级引证文献3

南方金融
2010年 第5期

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