股票市场开放对市场操纵行为的影响  

The Influence of Stock Market Opening on Market Manipulation Activities: Empirical Evidence from the Shanghai-Hong Kong Stock Connect

作　　者：李志辉 杜阳 邹谧 Li Zhihui;Du Yang;Zou Mi

机构地区：[1]南开大学经济学院财金研究所,天津300071 [2]中国银行研究院,北京100818

出　　处：《南开学报（哲学社会科学版）》2021年第6期32-41,共10页Nankai Journal:Philosophy,Literature and Social Science Edition

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)。

摘　　要：2014年11月,沪港通试点正式启动,这是我国股票市场双向开放的重大制度创新。然而,随着我国股票市场对外开放程度的不断加强,跨境操纵开始涌现。在扩大股票市场开放程度的同时,也给深市、沪市引入了新的市场操纵者,2017年证监会处罚了两例涉及开通沪港通的跨境操纵行为。沪港通的开通能否真正起到减少市场操纵行为、提高股票市场公正水平的作用,需要从学术研究角度加以论证。以沪港通这一准自然试验作为研究样本,去探究股票市场开放对市场操纵行为的影响,有助于改善现有股票市场环境,更好地应对股票市场开放这一必然的发展趋势。This paper is based on a quasi-natural experiment, i.e. the launch of the Shanghai-Hong Kong Stock Connect in November 2014. This paper investigates the short-term and long-term effects on the opening of the stock market.Through empirical research, findings illustrate that, at an overall market manipulation level, the occurrence of manipulation will increase with the implementation of the Shanghai-Hong Kong Stock Connect policy, but will be significantly reduced in the long term. This paper also explores the internal influence mechanism from the dimension of operation and information efficiency. Finally, this paper uses a placebo test and grouping regression to prove the robustness of the empirical conclusions.

关 键 词：沪港通 市场操纵 市场微观结构 双重差分模型 

分 类 号：F832.51[经济管理—金融学]