我国深圳股市“庄家操纵”特征的实证分析

The Empirical Study of the Characteristics of the Bankers' Manipulation in Shenzhen Stock Market

采用 1 999-2 0 0 0两年的深圳股市数据 ,通过实施配对样本 t检验 ,分析了业绩因素、行业因素、流通规模因素、庄家操纵因素此四因素对股价变动 (以股价超额振幅指标来衡量 )的显著性 ,获得了以大户持仓比例来衡量的庄家因素对股价超额振幅有显著影响的直观的经验结论 .并在此基础上 ,采用随机2 4 析因设计 ,分析了该四因素对股价变动的主效应、交互效应 ,获得了只有庄家因素对股价超额振幅有显著效应的经验证据 ,从而找到了支持深圳股票市场具有庄家操纵特征的强有力经验证据 .

The paper uses the data of Shenzhen Stock Exchange in 1999-2000, analyzes the significance of effects of the factors of revenue, industry, the size of listing\|share, the bankers' manipulation measured by the index of the ratio of large investors holding shares, on the stock price changing measured by the excess\|vibration\|extent of stock price with the method of the pair\|sample \$t\$\|test, and obtains the evidence that the bankers' manipulation affects significantly on the excess\|vibration\|extent of stock price. Based this work, the paper uses the method of the 2\+4 factorial design, studies the main effects and interaction effects of these four factors on the excess\|vibration\|extent of stock price, and acquires the evidence that only the bankers' manipulation factor affects significantly the excess\|vibration\|extent of stock price. Therefore the paper finds out the cogent empirical evidence which sustains the conclusion that there is the characteristic of bankers' manipulation in Shenzhen stock market.