中国基金公司季末操纵股票价格吗?——基于倾向评分匹配倍差法的发现

Do China's Funds Manipulate Quarter-end Stock Prices? Evidence from Difference in Differences Method Based on Propensity Score Matching

本文着眼于市场操纵问题,运用我国2006-2013年的股票市场微观数据,通过倾向评分匹配倍差法对基金公司季末股票价格操纵行为进行了研究。实证结果表明,基金重仓股在样本期间内具有季末平均超额正收益和季初平均超额负收益;金融危机前股票市场走势良好,上述操纵行为较为缓和,而金融危机后中国股市急转直下,基金操纵行为更加明显;流动性差的股票由于操纵成本较低,更容易成为基金公司实施操纵策略的对象。

This article focuses on market manipulation and examines the quarter-end stock price manipulation by funds utilizing a database of Chinese stock markets from 2006 to 2013. Difference in differences method based on propensity score matching is exploited and the empirical results demonstrate that （1） funds holding stocks experience abnormal increases at quarter-end and quickly reverse on the first day of the next quarter; （2） stock price manipulation is more severe when it is bear market after financial crisis than bull market before financial crisis; （3） illiquid stocks are more prone to be manipulated because of their low cost of manipulation.