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| 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
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School of Economics, Nankai University;
School of Economics, Beijing Technology and Business University |
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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.
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Received: 07 July 2017
Published: 01 January 1900
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