涨停板的广告效应与交易型股票操纵  

Advertising Effect of Upper Price Limit and Trading-based Market Manipulation

作　　者：王燕鸣[1,2] 吴晶[3] 王钰婷[1] 

机构地区：[1]中山大学岭南学院金融系 [2]中山大学中国转型与开放经济研究所 [3]深圳证券交易所综合研究所

出　　处：《金融学季刊》2015年第2期93-125,共33页Quarterly Journal of Finance

摘　　要：本文从投资者有限关注的角度对我国股票涨停板进行研究，将涨停板与交易型股票操纵相结合，通过构建理论模型发现，若涨停板存在“广告效应”，则可减少操纵者操纵小盘股、ST股所需资金成本，缩短操纵过程所需时间，提高操纵者的利润率，操纵者倾向于选择小盘股或sT股进行操纵。通过实证分析发现，我国涨停板具有“广告效应”，能够吸引投资者关注，涨停板的“广告效应”存在被市场操纵者利用的可能，涨停股票符合行为金融理论的“价格压力假说”。This paper studies the upper price limit and its effects from the perspective of investor＇s limit attention. We build a theoretical model and find that if the ＂ advertising effect＂ ofupper price limit exists, when small-cap stocks or ST stocks are manipulated, price limits can greatly reduce the cost of manipulator, shorten the time of manipulation and substantially increase the profit rate of the manipulator. We also find that the ＂advertising effect＂ of upper price limit does exist in China stock market. Hitting the upper price limit can attract the attention of investors. The ＂advertising effect＂ of upper price limit may be used by the manipulator to complete the ma- nipulation better. The upper price limit conforms with the ＂price nressure hvnnthesis＂

关 键 词：涨停板 广告效应 股票操纵 价格压力假说 

分 类 号：G12[文化科学]