中国股票市场操纵对市场效率的影响研究

A Study on Effects of China′s Stock Market Manipulation on Market Efficiency

根据资本市场质量研究框架,公正与效率是两个衡量市场质量的重要维度。为全面深入地了解中国股票市场的运行质量,有必要弄清中国股票市场公正与效率之间的影响关系。本文引入收盘价操纵的识别模型及成交额加权的相对有效价差指标,并采用滚动VAR模型和广义的脉冲响应及方差分解技术分析了上海证券交易所层面操纵行为影响市场效率的方向、程度、渠道,以探究公正与效率之间关系在中国股票市场的体现。研究结果表明,操纵行为可能会通过加剧市场波动或降低市场交易活跃度导致买卖价差扩大和交易成本上升,这种影响在市场下跌时更为显著。因此,有效遏制股票市场操纵行为非常必要,不仅能直接维护市场公正,而且有利于降低交易成本和提升市场效率,从而促进市场质量不断改善。

According to the research framework of capital market quality,market integrity and efficiency are two important dimensions measuring market quality. In order to fully understand how China′s stock market functions well,it is necessary to figure out the relationship between China′s stock market integrity and efficiency. This paper introduces the identification model of closing price manipulation and value weighted relative effective spreads,and analyzes the direction,degree and channels of manipulation behaviors′ influence on market efficiency in Shanghai Stock Exchange,with rolling VAR model and generalized impulse response and forecast error variance decomposition technology,aiming to investigate the dynamic relationship between market integrity and efficiency. The result indicates that manipulation behaviors tend to enlarge spreads and increase transaction costs by exacerbating market volatility or reducing the active degree of transactions,which is even more significant when markets fall. Therefore,it is necessary to restrain manipulation behaviors in stock markets effectively,which not only can maintain market integrity directly,but also decreases transaction cost and improves market efficiency,then market quality will be improved accordingly.