市场操纵、价格回归与市场有效性  

Market Manipulation,Price Regression and Market Efficiency

作　　者：高嘉亮 JIALIANG GAO(School of Economics,Beijing Technology and Business University)

机构地区：[1]北京工商大学经济学院

出　　处：《工信财经科技》2023年第1期42-56,共15页Review of Financial & Technological Economics

摘　　要：我国股票市场成立以来,市场操纵事件时有发生。本文基于2011—2021年中国全部A股上市公司被操纵的股票数据,结合泊松回归检验影响市场有效性的因素。结果显示,媒体关注越高的股票,被操纵后价格回归速率越快;换手率越高的股票,被操纵后价格回归速率越快。因此得出结论,市场有效性应从媒体关注、监管机构和投资者角度进行提升,在股票操纵时有发生的情况下应加快上市公司信息披露速度,加强监管机构对于上市公司的监管,引导投资者树立正确的投资价值观。Since the establishment of our stock market,market manipulation events have occurred frequently.Based on the manipulated stock data of all Chinese A-share listed companies from 2011 to 2021,this paper combined with Poisson regression test to test the factors affecting market efficiency.The results show that the higher the media attention,the faster the price regression rate after manipulation;the higher the turnover rate of the stock,the faster the rate of price regression after manipulation.To improve the effectiveness of the market should be promoted from the perspective of media attention,regulators and investors.In the case of stock manipulation,the speed of information disclosure of listed companies should be accelerated,the supervision of listed companies should be strengthened,and the correct investment values of investors should be established.

关 键 词：市场操纵 市场有效性 价格回归 泊松回归 

分 类 号：F832.51[经济管理—金融学]