中国股票市场操纵行为及预警机制研究

Study on Market Manipulation and Early Warning Mechanism of China's Stock Markets

笔者首先建立了包含价格操纵者、动量投资者和非知情投资者的博弈模型,阐述了信息不对称情形下市场操纵的实施过程以及博弈各主体的最终损益,说明了市场操纵为操纵者创造了获利机会,并使得无法辨别操纵者身份的众多动量投资者蒙受损失;继而收集了2008—2014年中国证监会公布的市场操纵案例,运用倍差法考察了中国股票市场的操纵行为,结果发现被操纵股票在操纵期间存在异象,其日收益率、有效价差、价格影响和交易规模等均显著上升;在此基础上,利用Logit模型设计了市场操纵预警机制,并以制造业行业股票为例阐述了预警指数的构建方法,从而为大数据时代我国监管机构发现并查处市场操纵行为提供了有益借鉴。

This paper presents game theory to demonstrate the process of market manipulation and return of manipulator,momentum investors and uninformed investors. I prove that the manipulator gain profit while the momentum investors suffer losses. In addition,I investigate price manipulation of China＇s stock markets via difference-in-difference method based on cases of market manipulation from 2008 to 2014 released by China＇s Securities Regulatory Commission. Empirical results show that daily return,effective spreads,price impact and trade size of manipulated stocks increase significantly. According to the above evidence,I apply Logit model to build early warning mechanism of stock manipulation and construct early warning index using stocks of manufacturing industry. These findings contribute to monitoring,discovering and investigating price manipulation of stock market in the age of big data.