基于GARCH模型的股票市场价格操纵研究  

Research on Stock Market Price Manipulation Based on GARCH Model

作　　者：马斌[1] 张莎莎 姚远[2] 

机构地区：[1]河南大学财务处,河南开封475000 [2]河南大学管理科学与工程研究所,河南开封475000

出　　处：《济南大学学报（社会科学版）》2017年第6期129-139,共11页Journal of University of Jinan:Social Science Edition

基　　金：国家社科基金项目"基于大数据的资本市场操纵行为量化;监测与监管的交互式模型研究"(项目编号:17BJY194)的阶段性成果

摘　　要：随着经济的发展,中国股票市场存在价格操纵的风险缺口,相关监控措施亟待完善,在此重点研究了2016年由中国证监会查处的6起真实发生的股价操纵事件,并以这6起操纵事件的真实交易数据为基础,结合GARCH模型对其共性特点进行实证研究,总结股票被操纵期间所表现出来的一般规律。挑选出具有代表性的股票特征,包括股票收益率和波动性、股权集中度、股票流动性和股本规模,作为中国监管机构重点关注并密切监控的目标对象。以中国现阶段股票市场的真实交易数据为基础,对股价的波动性特征进行实证研究并检验。根据所选取的典型特征,结合中国现阶段的制度体系,从加强信息披露、加强投资者教育、尽快解决股权分割、完善投资者结构、加强对账户和交易的监控、规范政府行为和完善法律法规方面,给出相应的政策建议。With the development of economics,China’s stock market exists gap risk of price manipulation.Related monitoring measures need improvement.This essay researches on 6 real stock price manipulation cases investigated by CSRC(China Securities Regulatory Commission)in 2016.And based on these cases,combined GARCH Model,this essay applies empirical study and summarize general rules.Then this essay finds representative stock characteristics including stock earning ratio,volatility,concentration ratio,mobility and scale as the important observation subjects of Chinese regulators.Besides,based real statistics of current China’s stock market,this essay studies and checkouts the mobility characteristics of stock price.According to selected typical characteristics,combined with current institutional system,it also provides corresponding policy suggestions from the aspects of enhancing information disclosure,strengthening investor education,dealing with partition of Stock Right as soon as possible,improving investor construction,strengthening monitoring to account and trade,standardizing the government behavior and perfecting the laws and regulations.

关 键 词：股价操纵 GARCH模型 股本规模 股票特征 

分 类 号：F832.51[经济管理—金融学]