内部控制能抑制股票市场操纵吗?——基于日内高频交易数据的检验  

Can Internal Control Restrain Stock Market Manipulation?Test Based on Intraday High-Frequency Trading Data

作　　者：李志辉[1] 陈海龙 魏斌 刘英特 Li Zhihui;Chen Hailong;Wei Bin;Liu Yingte

机构地区：[1]南开大学经济学院,天津300071 [2]西南财经大学国际商学院,四川成都611130

出　　处：《证券市场导报》2023年第5期49-59,共11页Securities Market Herald

基　　金：国家自然科学基金面上项目“中国股票市场交易型操纵监测、影响与防范研究——基于分时高频数据云计算的实现”(项目编号:71973070)。

摘　　要：本文以2011―2021年沪深A股上市公司为研究样本,基于日内高频交易数据探究内部控制对股票市场操纵的影响。研究发现,内部控制与股票市场操纵显著负相关,使用Heckman两阶段模型、变量替换等方法检验后,结论稳健。理论分析和机制分析表明,内部控制可通过提升上市公司信息透明度对股票市场操纵产生抑制作用。进一步分析显示,机构投资者持股和独立董事占比等公司治理因素、行政审批和法律法规等制度环境因素可对内部控制与市场操纵之间的关系起到正向调节作用。本文为内部控制制度的实施提供了市场公正层面的理论支持和经验证据,对提高我国股票市场质量具有重要启示作用。This paper takes A-share listed companies in Shanghai and Shenzhen stock exchanges from 2011 to 2021 as research samples,and explores the influence of internal control on stock market manipulation based on intraday high-frequency trading data.The research finds that there is a significant negative correlation between internal control and stock market manipulation.After the tests using Heckman two-stage model and variable substitution methods,the conclusion is robust.Theoretical analysis and mechanism analysis show that internal control can inhibit stock market manipulation by improving the information transparency of listed companies.Further analysis shows that corporate governance factors such as the shareholding of institutional investors and the proportion of independent directors,and institutional environment factors such as administrative examination and approval,laws and regulations can positively regulate the relationship between internal control and market manipulation.This paper provides theoretical support and empirical evidence at the level of market justice for the implementation of the internal control system,which has important implications for improving the quality of China’s stock market.

关 键 词：内部控制 股票市场操纵 会计信息质量 分析师关注 知情交易概率 

分 类 号：F832.5[经济管理—金融学] F239.2