| 149 | 2 | 106 |
| 下载次数 | 被引频次 | 阅读次数 |
本文利用手动收集整理的中国证监会2015年1月至2019年12月共计5年间披露的229例幌骗交易案例,考察了幌骗交易股票的微观结构特征,并分析了幌骗交易对股票市场微观结构的影响结果和影响机制,结果发现:(1)幌骗交易者提交了大量不以成交为目的的订单申报,被操纵股票出现了频繁的订单申报和撤销;(2)幌骗交易者通过影响买卖订单数量对股价施加压力,被操纵股票出现了更大的订单数量不平衡和更多的巨额买单;(3)受操纵引发的稀释效应和成交量效应影响,被操纵股票的订单成交比例上升;(4)受操纵行为的影响,投资者报价策略趋于保守,被操纵股票的非最优报价占比显著上升,导致了买卖价差扩大;(5)被操纵股票吸引了小额投资者的流入,增加了股价的波动性。
Abstract：Based on 229 cases of spoofing trading disclosed by CSRC in five years from January 2015 to December 2019,this paper investigates the microstructure characteristics of spoofing trading stocks,and analyzes the impact of spoofing trading on the microstructure of the stock market.The results show that:(1)Spoofing traders submit a large number of orders not for the purpose of transaction.There are frequent order declaration and cancellation in the manipulated stocks.(2) By influencing the number of purchase and sale orders,the fraudsters exert pressure on the stock price,resulting in more unbalanced orders and more huge orders.(3)Under the influence of dilution effect and volume effect caused by manipulation,the order turnover ratio and order turnover ratio of the manipulated stocks increase.(4)Under the influence of manipulation,investors' bidding strategies tend to be conservative,and the proportion of non optimal bidding of manipulated stocks increases significantly,which leads to the widening of bid ask spread.(5) Manipulated stocks attract small investors and increase the volatility of stock prices.
[1]李志辉,王近,李梦雨.中国股票市场操纵对市场流动性的影响研究:基于收盘价操纵行为的识别与监测[J].金融研究,2018(2):135-152.
[2]刘杰,陈佳,刘力.投资者关注与市场反应:来自中国证券交易所交易公开信息的自然实验[J].金融研究,2019(11):189-206.
[3]AGGARWAL R K,WU G.Stock market manipulations[J].The Journal of Business,2006,79(4):1915-1953.
[4]ALLEN F,GALE D.Stock-price manipulation[J].The Review of Financial Studies,1992,5(3):503-529.
[5]AITKEN M J,HARRIS F H B,JI S.A worldwide examination of exchange market quality:Greater integrity increases market efficiency[J].Journal of Business Ethics,2015,132(1):147-170.
[6]BANERJEE S,GREEN B.Signal or noise?Uncertainty and learning about whether other traders are informed[J].Journal of Financial Economics,2015,117(2):398-423.
[7]BRANDT M W,BRAV A,GRAHAM J R,et al.The idiosyncratic volatility puzzle:Time trend or speculative episodes?[J].The Review of Financial Studies,2010,23(2):863-899.
[8]CAMERER C F.Can asset markets be manipulated?A field experiment with racetrack betting[J].Journal of Political Economy,1998,106(3):457-482.
[9]CHOI P M S,CHOI J H.Is individual trading priced in stocks?[J].Journal of International Money and Finance,2018,85:76-92.
[10]COMERTON-FORDE C,RYDGE J.Market integrity and surveillance effort[J].Journal of Financial Services Research,2006,29(2):149-172.
[11]COMERTON-FORDE C,PUTNINS T J.Measuring closing price manipulation[J].Journal of Financial Intermediation,2011,20(2):135-158.
[12]COMERTON-FORDE C,PUTNINS T J.Stock price manipulation:Prevalence and determinants[J].Review of Finance,2014,18(1):23-66.
[13]CROWLEY S,SADE O.Does the option to cancel an order in a double auction market matter?[J].Economics Letters,2004,83(1):89-97.
[14]CUMMING D,JOHAN S,LI D.Exchange trading rules and stock market liquidity[J].Journal of Financial Economics,2011,99(3):651-671.
[15]DUONG H N,GOYAL A,KALLINTERAKIS V,et al.Market manipulation rules and IPO underpricing[J].Journal of Corporate Finance,2021,67:101846.
[16]EGGINTON J F,VAN NESS B F,VAN NESS R A.Quote stuffing[J].Financial Management,2016,45(3):583-608.
[17]FOUCAULT T.Order flow composition and trading costs in a dynamic limit order market[J].Journal of Financial Markets,1999,2(2):99-134.
[18]FOUCAULT T,SRAER D,THESMAR D J.Individual investors and volatility[J].The Journal of Finance,2011,66(4):1369-1406.
[19]FOUCAULT T,HOMBERT J,ROSU I.News trading and speed[J].The Journal of Finance,2016,71(1):335-382.
[20]GLOSTEN L R,MILGROM P R.Bid,ask and transaction prices in a specialist market with heterogeneously informed traders[J].Journal of Financial Economics,1985,14(1):71-100.
[21]HAN Q,LIANG J.Index futures trading restrictions and spot market quality:Evidence from the recent Chinese stock market crash[J].Journal of Futures Markets,2017,37(4):411-428.
[22]HILLION P,SUOMINEN M.The manipulation of closing prices[J].Journal of Financial Markets,2004,7(4):351-375.
[23]HOFFMANN P.A dynamic limit order market with fast and slow traders[J].Journal of Financial Economics,2014,113(1):156-169.
[24]HUANG Y C,CHENG Y J.Stock manipulation and its effects:Pump and dump versus stabilization[J].Review of Quantitative Finance and Accounting,2015,44(4):791-815.
[25]KHWAJA A I,MIAN A.Unchecked intermediaries:Price manipulation in an emerging stock market[J].Journal of Financial Economics,2005,78(1):203-241.
[26]KONG D,WANG M.The manipulator's Poker:Order-based manipulation in the C.hinese Stock Market[J].Emerging Markets Finance and Trade,2014,50(2):73-98.
[27]KUMAR A,LEE C M C.Retail investor sentiment and return comovements[J].The Journal of Finance,2006,61(5):2451-2486.
[28]LEE E J,EOM K S,PARK K S.Microstructure-based manipulation:Strategic behavior and performance of spoofing traders[J].Journal of Financial Markets,2013,16(2):227-252.
[29]LIU J,WU C,YUAN L,et al.Opening price manipulation and its value influences[J].International Review of Financial Analysis,2022,83:102256.
[30]NAWN S,BANERJEE A.Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?[J].Journal of Empirical Finance,2019,53:109-125.
[31]NEUPANE S,RHEE S G,VITHANAGE K,et al.Trade-based manipulation:Beyond the prosecuted cases[J].Journal of Corporate Finance,2017,42:115-130.
[32]O'HARA M.What is a quote?[J].The Journal of Trading,2010,5(2):10-16.
[33]VAN BOMMEL J.Rumors[J].The journal of Finance,2003,58(4):1499-1520.
[34]VAN NESS B F,VAN NESS R A,WATSON E D.Canceling liquidity[J].Journal of Financial Research,2015,38(1):3-33.
[35]YANG L,ZHU H.Back-running:Seeking and hiding fundamental information in order flows[J].The Review of Financial Studies,2020,33(4):1484-1533.
(1)本文对幌骗交易的定义参考中国证券监督管理委员会于2007年发布的报告《证券市场操纵行为认定指引(试行)》。
(1)监管部门对于市场操纵案件需要经过立案、调查、起诉、审判等过程后才对外披露并发布行政处罚决定书,因此导致案件的发生时间与证监会处罚文书发布时间相隔较远。例如,证监罚字[2019] 20号披露的“浩丰科技”股票案的实际发生时间为2015年。
(2)本文将一只股票的一个交易日视为一例观测值,在中国证监会披露的一例操纵案件中,可能涉及多例幌骗交易案例,例如,证监罚字[2018] 81号披露的“中水渔业”股票案,幌骗交易案例共12例。
(1)具体而言,重大基本面事件包括:1)资产出售与转让;2)资产置换;3)资产重组;4)资产赠与;5)资产拍卖;6)资金冻结;7)股份回购;8)借贷;9)发行企业债券;10)违规处罚及批评;11)业绩预告;12)税负变动;13)意外事故;14)重大经营合同;15)发债人违约;16)财务数据调整修正;17)经营范围变动共17项可能影响股票市场表现的事件。
(1)由于篇幅所限,稳健性检验中的具体结果没有展示,读者如有需要,可向作者索取。
(2)匹配方法详情请参见Han和Liang(2017)。
基本信息:
中图分类号:D922.287;F832.51
引用信息:
[1]袁琳,刘杰,吴崇林.幌骗交易与市场微观结构——基于中国证监会行政处罚的实证研究[J].金融学季刊,2023,17(01):53-76.
基金信息:
国家社会科学基金项目“金融风险外溢视角下市场操纵的影响评估与治理路径研究”(23CJY025)阶段性成果
2023-03-31
2023-03-31