庄家操纵背景下市场交易机制的比较  

The Comparison of Market Trading Mechanism under the Background of Manipulation

作　　者：彭明旭 吴仁水 PENG Ming-xu;WU Ren-shui(Business School,Taizhou University,Taizhou Zhejiang 318000,China;Sun Yat-sen Business School,Sun Yat-sen University,Guangzhou Guangdong 510275,China;Zhuhai Financial Investment Group,Zhuhai Guangdong 519031,China)

机构地区：[1]台州学院商学院,浙江台州318000 [2]中山大学管理学院,广东广州510275 [3]珠海金融投资控股集团,广东珠海519031

出　　处：《技术经济与管理研究》2019年第10期82-88,共7页Journal of Technical Economics & Management

基　　金：国家自然科学基金资助项目(71261010)

摘　　要：我国证券市场存在严重的庄家操纵现象,本文基于Seppi(1997)的市场框架,分析在纯限价订单市场机制和混合市场机制下,庄家的交易策略、市场均衡价格和平均风险升水,并比较两种市场交易机制在限制庄家操纵市场方面的优劣。研究表明,在纯限价订单市场里面,庄家选择将所有订单放在一个价格上是最优选择,市场均衡存在且唯一;在混合市场交易机制中,市场均衡存在且唯一,但是庄家采用分散交易策略,即不会将所有订单集中在一个价格上,而是在不同价格上提交不同的交易量,庄家在超出均衡定价的价格上,也投放订单,以干扰专家决策;在混合市场机制中的市场均衡价格小于在纯限价订单簿市场中的均衡定价;相比于纯限价订单市场交易机制,混合市场交易机制的平均风险升水更少,更有利于限制庄家的操纵行为。There is a serious phenomenon of manipulation in China′s securities market. Based on the market framework of Seppi (1997), the trading strategy,market equilibrium price and average risk of manipulator are analyzed in the paper under the pure limited- order-book market mechanism and the hybrid market mechanism,and the advantages and disadvantages of the two market trading mechanisms are compared in restricting their manipulating behavior. The results show that firstly,in the pure limited-order - book market,it is an optimal choice that the manipulator chooses to put all orders at one price,and the market equilibrium exists and is unique. Secondly,in the hybrid market,the market equilibrium exists and is also unique,but the manipulator adopts the decentralized trading strategy,that is,it will not concentrate all orders on one price. Instead,the manipulator submits different trading volumes at different prices,and he also places some orders on the prices beyond the equilibrium price to interfere with the specialist. Thirdly,the market equilibrium price in the hybrid market mechanism is less than that in the pure limited-order- book market. Fourthly,compared with the trading mechanism of pure limited- order-book market,the average risk of the hybrid market trading mechanism is less,which can contribute to limit the manipulation behavior.

关 键 词：纯限价订单簿 混合市场机制 证券市场 庄家操纵 

分 类 号：F123[经济管理—世界经济]