【作者】 邹小山；

【导师】 冯邦彦；

【作者基本信息】 暨南大学 ， 金融学， 2005， 博士

【摘要】 中国股市是一个新兴、后进的市场,存在着严重的操纵行为。近年来对价格操纵的研究逐渐得到理论界的重视,但主要是针对发达国家的市场体系,对中国这样的新兴市场体系较少涉及,因而其理论也并不完全适用于中国。 价格操纵是股票市场上的一种非法行为,其产生与股票市场非有效密切相关。操纵者相对于普通投资者而言拥有信息优势;个体投资者存在行为偏差——正反馈效应和处置效应,群体投资者存在着羊群行为。信息不对称和投资者非理性是操纵产生的重要基础。 中国股市特殊的市场背景形成了独特的价格操纵模式,股市发展的时间过短,制度和结构上存在着缺陷,如市场投资功能缺失、产权约束弱化、股权分割、政府行为失当和投资者结构不合理等,致使股价操纵层出不穷、禁而不止。 股价操纵限制了股票市场的正常发展,使股票市场的定价功能和投资增值功能等处于紊乱之中,导致投资者信心丧失并退出市场。股市严峻的价格操纵现实昭示着中国股票市场面临着艰巨而紧迫的反操纵需求。本文建立了Logistic判别模型以有效识别市场上的操纵行为。为消除市场上的操纵行为,政府有必要通过一系列的政策措施,如股市的结构性改革、减少内幕交易、投资者教育和法律法规的完善等,来有效地保护投资者的利益。更多还原

【Abstract】 Price manipulations widely exist in China’s stock market which is newly developed. The researches on price manipulation have taken broard attention. But most of them focus on the market of developed markets. Few have taken China in consideration. As price manipulation is extremely harmful to stock market, it should be studied thoroughly.Pric manipulations, which are illegal, have many causes. There’re two conditions in the process of manipulation: information asymmetry and investors’ irrationality. Manipulators have more information than normal investors. Positive feedback effect and disposition effect widely exist in individual investor, while investors as a whole have the bias of herd behavior.The price manipulations in China are much more different from other countries. The defaults in ownership structure, capital structure and investor structure, etc, lead to widely-existing manipulations in China.Pric manipulations are a hindrance to the development of stock market. Investors lost their confience and leave the market with the flooding of manipulations. With the analysis of above, the author build a logistic model to effectively detect price manipulation in the market. The government need do a lot to prevent manipulation. The reforms on market structure, insider trading, investor education and law and rules, etc, will be helpful to prevent manipulations and protect investors.更多还原