市场操纵降低了中国股票市场的信息效率吗——来自沪市A股高频交易数据的经验证据  

Does Market Manipulation Reduce the Information Efficiency of China's Stock Market?Empirical Evidence from the Shanghai A-share Market's High-Frequency Trading Data

作　　者：孙广宇 李志辉[2] 杜阳 王近 SUN Guangyu;LI Zhihui;DU Yang;WANG Jin(School of Finance,Zhejiang Gongshang University;School of Economics,Nankai University;Research Institute of Bank of China;CIB Fund Management Co.,Ltd)

机构地区：[1]浙江工商大学金融学院,浙江杭州310018 [2]南开大学经济学院,天津300071 [3]中国银行研究院,北京100818 [4]兴业基金管理有限公司风险管理部,上海200120

出　　处：《金融研究》2021年第9期151-169,共19页Journal of Financial Research

基　　金：国家自然科学基金面上项目(71973070);国家社会科学基金青年项目(18CJY058);北京市社会科学基金青年项目(19YJC038)的资助。

摘　　要：本文以尾市交易操纵为研究对象,尝试对中国股票市场可疑的尾市操纵行为进行识别与监测,并基于监测结果实证分析市场操纵如何影响市场信息效率。具体来看,本文利用沪市A股2013-2018年的日内高频交易数据,基于股票尾市交易相关指标异常变化特征,构建了尾市交易操纵识别模型,实证检验了市场操纵对信息效率的影响。研究结果表明,市场操纵对信息效率存在不利影响,市场操纵后股票流动性和股票波动性的异常变化是影响信息效率的关键传导路径,上述结论在考虑内生性问题后依然稳健。此外,研究还发现,国有企业、上市公司信息披露质量较高的情形下,市场操纵对信息效率不利影响程度较小。Tremendous increases in scale have been achieved in the development of China's A-share market over the past 30 years.At the end of 2020,there were 4,154 listed companies in the A-share market,and the total value of the market was 80 trillion yuan.This equates to greater than 70%of China's 2020 GDP,meaning that the A-share market is the world's second largest stock market,after that of the United States.However,the frequent abnormal fluctuations that have occurred in the A-share market indicate that the quality of the market is not high.In particular,there have been continual illegal transactions in the stock market in recent years:China Securities Regulatory Commission reports that the illegal profits from market manipulation in 2020 totaled 416 million yuan.Clearly,such occurrences severely damage the legitimate rights and interests of investors and the healthy development of the capital market.To explore this illegal behavior from the perspective of stock market quality,we monitor and attempt to identify suspicious tail-market manipulation in China's stock market.Based on the results of this monitoring,we empirically analyze how market manipulation affects the information efficiency of China's stock market and suggest ways for regulatory authorities to improve market quality.Many studies explore the factors influencing information efficiency in the Chinese stock market.Recent studies explore these factors from the perspective of investors and find that institutional investors(Xin et al.,2018),foreign investors(Qinlin and Zhengfei,2018),and investor sentiment(Yang et al.,2020;Xiong et al.,2020)are responsible for abnormal changes in information efficiency.However,scholars rarely analyze the relationship between market manipulation and information efficiency from the perspective of illegal traders.This is a crucial relationship to understand,as the capital advantage and shareholding advantage of market manipulators means that their manipulations have a profound effect on the formation of stock prices.In addition,

关 键 词：市场操纵 尾市交易操纵 信息效率 股票流动性 股票波动性 

分 类 号：F832.51[经济管理—金融学]