操纵者与内幕交易者合谋条件下有打压过程的市场操纵行为研究

A Study on Market Manipulation Based on Collusion Between Manipulator and Insider and Suppression

鉴于证券市场中存在内幕交易与市场操纵行为并行发生的现实,结合信息不对称理论与投资者行为偏差理论,建立了操纵者与内幕交易者合谋条件下有打压过程的多阶段市场操纵模型。通过模型求解,得出市场操纵过程中各期的最优预期均衡价格和最大预期操纵收益,进而讨论了主要因素对最大预期操纵收益的影响,并运用数值模拟验证了理论结果。最后,给出相应的政策以有效抑制市场操纵行为和内幕交易的发生。

In view of the fact that inside transactions and market manipulations occur simultaneously, a multi-stage manipulation model based on collusion between manipulators and inside traders and suppression is established by using information asymmetry theory and investors~ behavioral deviation theory. The optimal expected equilibrium prices of every stage and the maximum expected manipulation benefits are obtained by solving model. The effects of main factors on the maximum expected manipulation benefits are further discussed, and confirmed by numerical simulations. The policies provided can effectively restrain market manipulations and inside transactions.