订单型操纵的新发展及监管  

The new development and supervision of order type manipulation

作　　者：孔东民[1] 王茂斌[2] 赵婧[3] 

机构地区：[1]华中科技大学经济学院,湖北武汉430074 [2]对外经贸大学金融学院,北京100029 [3]厦门大学王亚南经济研究院,福建厦门361005

出　　处：《证券市场导报》2011年第1期16-23,共8页Securities Market Herald

基　　金：国家自然科学基金项目"投资者行为与资本市场稳定性研究"(70803013)以及"股权类衍生产品市场操纵行为与监管制度研究"(70703024)的研究成果

摘　　要：本文考察了一类新的操纵类型——订单型操纵及其监管。研究发现,对于订单型操纵而言,订单提交频率较高且撤单速度非常快,以避免成交风险;申报买入笔数很多且提交订单额度巨大,但成交笔数极少;买入申报撤单量占该股票当日市场买入总申报比例极高。进一步,操纵者选择的股票往往具有低股价和小市值的特征;操纵行为对价格和流动性仅有短暂的影响。比较发现,中国和美国订单型操纵在制度上存在差异。本文研究对于如何在中国更好地加强这一类新型操纵的监管有着借鉴意义。This paper examines a new type of market manipulation, order type manipulation and its supervision. We found that for the order type manipulation, the order submission frequency is high and the cancellation is very fast as well, therefore the transaction risk is avoided. Usually many orders with huge value are submitted, but the actual transaction amount is very little and the cancelled orders have an extremely high proportion of the total order submission. Furthermore, the manipulators often choose stocks with low price and small market value, and the manipulation of price and liquidity is of short-term only. It is also found that the order type manipulation is different in the U.S. and China market. This paper might be a good reference to strengthen the supervision of this new type manipulation in China market.

关 键 词：订单型操纵 市场价格 流动性 

分 类 号：F830.91[经济管理—金融学]