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

摘要

基于收盘价操纵后股票价格的变动特征, 本文构建了收盘价操纵行为的识别方法——尾市价格偏离模型, 并利用中国股票市场的分时高频交易数据实现了可疑收盘价操纵行为的监测.进一步, 本文采用面板数据回归实证分析了收盘价操纵影响市场流动性的方向、程度和机制.研究结果表明, 收盘价操纵会导致股票交易成本上升和流动性下降, 这种影响往往在股票市场处于震荡和下跌阶段时更为显著;同时, 投资者报价策略趋于保守化是收盘价操纵对市场流动性产生影响的关键因素, 而引发投资者调整报价策略的原因可能是股价波动加剧后订单非执行风险的降低.%Based on the variation characteristics security price exhibits after closing price manipulation, this paper constructs the identification method of closing price manipulation behaviors-End of Day Price Dislocation Model, and realizes suspected closing price manipulation behaviors' monitoring by high frequency trading data in China's stock market. Furthermore, this paper analyzes how closing price manipulation affects market liquidity empirically by panel data regressions, the result indicates that closing price manipulation will lead to security's transaction costs improved and market liquidity decreased, which is even more significant when markets are in vibrating and falling stages; Meanwhile, investors ' quoting strategies tending to be less aggressive is the crucial factor by which closing price manipulation has effects on market liquidity, and the reason why investors adjust quoting strategies maybe non-execution risks decline due to stock prices' higher volatility.