企业数字化转型能抑制市场操纵吗?——基于高频数据的收盘价操纵识别模型  

Can Corporate Digital Transformation Curb Market Manipulation:A closing Price Manipulation Identification Model Based on High-fre⁃quency Data

作　　者：郑婉清 吴崇林 刘杰 Zheng Wanqing;Wu Chonglin;Liu Jie(School of Economics and Management,Fujian Agriculture and Forestry University,Fuzhou 350002,Fujian,China;School of Finance,University of International Business and Economics,Beijing 100029,China)

机构地区：[1]福建农林大学经济与管理学院,福建福州350002 [2]对外经济贸易大学金融学院,北京100029

出　　处：《金融发展研究》2023年第12期69-79,共11页Journal Of Financial Development Research

基　　金：国家社会科学基金项目“金融风险外溢视角下市场操纵的影响评估与治理路径研究”(23CJY025)。

摘　　要：基于收盘价操纵的股价特征,本文构建了收盘价操纵识别模型,并对2008—2020年A股上市公司进行了检测,采用识别模型的甄别结果,实证检验了企业数字化转型对市场操纵的影响。研究发现,企业数字化转型程度的提高能够显著抑制市场操纵行为。企业数字化转型通过提升信息透明度和股票流动性抑制股票市场操纵行为,信息透明度和股票流动性越高,企业被操纵的可能性越低。同时,在信息环境质量低的企业和非国有企业中,数字化转型对股票市场操纵的抑制作用更强。本文从市场操纵角度为理解企业数字化转型的经济意义提供了有益参考,研究结论对治理股票市场非法行为、维护市场公平正义具有重要启示作用。Based on the stock price characteristics of closing price manipulation,this paper constructs a closing price manipulation identification model and tests it on A-share listed companies from 2008 to 2020,and empirically examines the impact of corporate digital transformation on market manipulation using the screening results of the identification model.It is found that an increase in the degree of corporate digital transformation can significantly inhibit market manipulation.Firms'digital transformation suppresses stock market manipulation by enhancing information transparency and stock liquidity;the higher the information transparency and stock liquidity,the lower the likelihood of firms being manipulated.Meanwhile,the inhibitory effect of digital transformation on stock market manipulation is stronger in enterprises with low quality information environment and non-state-owned enterprises.This paper provides a useful reference for understanding the economic significance of digital transformation of enterprises from the perspective of market manipulation,and the findings of the study have an important revelation for the governance of illegal behaviors in the stock market and the maintenance of fairness and justice in the market.

关 键 词：企业数字化转型 市场操纵 信息透明度 股票流动性 信息环境质量 

分 类 号：F832.5[经济管理—金融学]