市场操纵与企业创新——基于高频数据的收盘价操纵识别模型

Market Manipulation and Firm Innovation——A Detection Model of Closing Price Manipulation Based on High Frequency Data

基于收盘价操纵的价格变化特征,本文构建了收盘价操纵识别模型,并利用2007年-2018年中国A股股票市场的分时交易数据实现了疑似收盘价操纵的监测。利用识别模型甄别的疑似收盘价操纵数据,本文检验了市场操纵与企业创新之间的关系。研究发现,市场操纵抑制了上市公司创新,降低了上市公司下一年度的专利申请总数量和发明专利申请数量。同时,本文发现融资约束程度越大、管理层短视行为动机越强,市场操纵对企业创新的不利影响程度越大。

Based on the characteristics of price change in closing price manipulation,this paper constructs the detection model of closing price manipulation,and uses the high-frequency trading data of China’s A-share stock market from 2007 to 2018 to monitor suspected closing price manipulation.This paper empirically tests the relationship between market manipulation and enterprise innovation based on the data of closing price manipulation screened by the detection model.The results show that market manipulation has inhibited the innovation of listed companies,and reduced the total number of patent applications and invention patent applications in the next year.At the same time,this paper finds that the greater the degree of financing constraints,the stronger the short-sighted behavior motivation of management,and the greater the adverse impact of market manipulation on enterprise innovation.