A Study on China's Stock Market Manipulation's Effects on Market Liquidity:Based on Closing Price Manipulation Behavior's Identification and Monitoring
LI Zhihui, WANG Jin, LI Mengyu
School of Economics, Nankai University; School of Economics, Beijing Technology and Business University
Abstract:
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.
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, 452(2): 135-152.
LI Zhihui, WANG Jin, LI Mengyu. A Study on China's Stock Market Manipulation's Effects on Market Liquidity:Based on Closing Price Manipulation Behavior's Identification and Monitoring. Journal of Financial Research, 2018, 452(2): 135-152.
[1]胡汝银,2004,《中国证券市场发展:对关键问题的审视》,《中国金融》第8期,第50~52页。 [2]雷倩华、柳建华和龚武明,2012,《机构投资者持股与流动性成本——来自中国上市公司的经验证据》,《金融研究》第7期,第182~195页。 [3]李梦雨,2015,《中国股票市场操纵行为及预警机制研究》,《中央财经大学学报》第10期,第32~42页。 [4]刘元海和陈伟忠,2003,《市场操纵过程的实证分析》,《经济科学》第5期,第90~97页。 [5]屈文洲和吴世农,2002,《中国股票市场微观结构的特征分析——买卖报价价差模式及影响因素的实证研究》,《经济研究》第1期,第56~63页。 [6]孙培源和施东晖,2002,《微观结构、流动性与买卖价差:一个基于上海股市的经验研究》,《世界经济》第4期,第69~72页。 [7]张维、韦立坚和熊熊等,2011,《从波动性和流动性判别股指期货跨市场价格操纵行为》,《管理评论》第7期,第163~170页。 [8]张峥、李怡宗和张玉龙等,2013,《中国股市流动性间接指标的检验——基于买卖价差的实证分析》,《经济学(季刊)》第4期,第233~262页。 [9]中国社会科学院金融研究所课题组、王国刚和董裕平,2015,《完善中国金融市场体系的改革方案研究》,《金融评论》第3期,第1~16页。 [10]Aggarwal, R. K., and G. Wu, 2003, “Stock Market Manipulation-Theory and Evidence”, Social Science Electronic Publishing. [11]Aggarwal, R. K., and G. Wu, 2006, “Stock Market Manipulations”, Journal of Business, 79(4):1915~1953. [12]Aitken, M. J., F. H. D. B. Harris, and S. Ji, 2015, “A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency”, Journal of Business Ethics, 132(1):147~170. [13]Aitken, M. J., et al., 2015, “Market Fairness: The Poor Country Cousin of Market Efficiency”, Journal of Business Ethics, 10(2):1~19. [14]Allen, F., and D. Gale, 1992, “Stock-Price Manipulation”, Review of Financial Studies, 5(3): 503~529. [15]Amihud, Y., and H. Mendelson, 1988, “Liquidity and Asset Prices: Financial Management Implications”, Financial Management, 17(1):5~15. [16]Ben-David, I., F. Franzoni, A. Landier, et al, 2013, “Do Hedge Funds Manipulate Stock Prices?” Journal of Finance, 68(6):2383~2434. [17]Carhart, M. M., et al, 2002, “Leaning for The Tape: Evidence of Gaming Behavior in Equity Mutual Funds”, Journal of Finance, 57(2):661~693. [18]Chamberlain, T. W., and C. C. Y. Kwan, 1989, “Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence”, Financial Analysts Journal, 45(5):67~71. [19]Comerton-Forde, C., and T. J. Putnins, 2011, “Measuring Closing Price Manipulation”, Journal of Financial Intermediation, 20(2):135~158. [20]Cumming, D., S. Johan, and D. Li, 2011, “Exchange Trading Rules and Stock Market Liquidity”, Journal of Financial Economics, 99(3):651~671. [21]Foucault T.,1998, “Order Flow Composition and Trading Costs in A Dynamic Limit Order Market”, Journal of Financial Markets, 1817(2):99~134. [22]Glen, J. D., 1994, “An Introduction to The Microstructure of Emerging Markets”, Social Science Electronic Publishing, 53(1):394~ 403. [23]Hanson, et al., 2004, “Manipulators Increase Information Market Accuracy”, George Mason University. [24]Hillion, P., and M. Suominen, 2004, “The Manipulation of Closing Prices”, Journal of Financial Markets, 7(4): 351~375. [25]Massimb, M. N., and B. D. Phelps, 1994, “Electronic Trading, Market Structure and Liquidity”, Financial Analysts Journal, 50(1):39~50. [26]Siow, A. S., and M. J. Aitken, 2003, “Ranking World Equity Markets On The Basis of Market Efficiency and Integrity”, Social Science Electronic Publishing. [27]Stoll, H. R., and R. E. Whaley, 1987, “Program Trading and Expiration-Day Effects”, Financial Analysts Journal, 43(2):16~28. [28]Stoll, H. R., 2000, “Friction”, Journal of Finance, 55(4):1479~1514. [29]Venkataraman K., 2001, “Automated Versus Floor Trading: An Analysis of Execution Costs On The Paris and New York Exchanges”, Journal of Finance, 56(4):1445~1485.