洗售交易、机构投资者异质性与股票流动性

Wash Trading,Institutional Investor Heterogeneity and Stock Liquidity

本文利用手动整理的中国证监会2014年至2019年共计6年间披露的235例洗售交易案例,实证检验了洗售交易对股票流动性的影响程度和影响机制,并进一步区分了不同类型机构投资者在洗售交易与股票流动性关系之间的作用。实证结果表明:(1)洗售交易增加了交易成本,降低了股票流动性;(2)受操纵股票波动性增加是洗售交易降低股票流动性的影响渠道,股价波动越大,受操纵股票的流动性越低;(3)不同类型机构投资者表现出很强的异质性,短期机构投资者和分散机构投资者增强了洗售交易对股票流动性的破坏程度,集中机构投资者降低了洗售交易对股票流动性的破坏程度。

This paper empirically tests the degree and mechanism of the impact of the wash trading on stock liquidity by using 235 wash trading cases disclosed by China Securities Regulatory Commission from 2014 to 2019,and analyzes the role of different types of institutional investors in the relationship between wash trading and stock liquidity.The empirical results show that:(1)the transaction cost is increased and the stock liquidity is decreased by the wash trading.(2)The increase of the volatility of the manipulated stocks is the channel for the wash trading to reduce the stock liquidity,the greater the volatility of the manipulated stock price,the lower the liquidity of the manipulated stock.(3)Different types of institutional investors show strong heterogeneity,short-term institutional investors and diversified institutional investors enhance the damage degree of stock liquidity in wash trading.The concentrated institutional investors reduce the degree of damage to stock liquidity.