中国证券市场操纵行为研究——基于动态面板数据的实证分析

Research on Market Manipulation Activities of the China's Stock Market——Positive Analysis Based on Dynamic Panel Data

利用国泰安数据库的中国上市公司数据、采用动态面板数据模型对不同操纵证券市场行为假说进行检验的实证结果表明,中国证券市场操纵行为存在一定的持续性;股权集中度越高,就越可能发生股价操纵行为;市场交易频率与股票的超常收益正相关,流通股东人数与股价超常收益负相关验证了中国证券市场操纵者获得超常收益的一个重要原因是交易型操纵行为。

Making use of dynamic panel data model, this paper demonstrates the different manipulation hypothesis based on the data of the Chinese company during 2007 2009. The result indicates that the manipulation behavior has the sustainable characteristic. At the same time, the higher stock equity leads to the more manipulation behavior. In addition, the development of the company structure will help to limit the stock price manipulation happen. At last, the negative correlation between the circulated number of the shareholders and the profit of the stock proves that transactional manipulation activities is the main cause for the superior rates of return of the China＇s stock market manipulators.