责任投资与股票市场操纵——基于ESG基金持股的研究  

Responsible Investment and Stock Market Manipulation:A Study Based on ESG Fund Holdings

作　　者：李志辉[1] 常心宇 魏斌 Li Zhihui;Chang Xinyu;Wei Bin

机构地区：[1]南开大学经济学院,天津300071

出　　处：《证券市场导报》2025年第4期54-65,共12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);教育部人文社会科学研究青年基金项目“股票市场异常波动背景下程序化交易操纵诱发系统性风险的机理及监管”(项目编号:24YJC790254);国家社科基金一般项目“全面注册制下市场操纵诱发股市系统性风险的机理与对策研究”(项目编号:23BJY253)。

摘　　要：股市操纵行为扭曲市场交易秩序,影响市场资源配置功能,损害资本市场的公平性和稳定性。责任投资能否通过积极倡导ESG治理原则、提升企业的治理效能和责任感,推动资本市场稳定健康发展?本文以沪深A股非金融上市公司为研究对象,利用三秒切片股票交易数据,实证检验ESG基金持股对市场操纵行为的影响及作用机制。研究发现,ESG基金具有自我反思、自我规范的自律性特质和强调企业与社会协同发展的社群性特质,通过提升持股公司的内部控制质量和信息透明度,显著抑制了股市操纵行为。这一研究结论经过一系列稳健性检验后依然成立。异质性分析表明,该抑制效应主要表现在金融监管较弱地区、管理层短视程度较高、非国有性质的企业中。本文拓展了责任投资的研究边界,并为监管防范市场操纵行为提供了参考。Stock market manipulation distorts market trading order,affects the resource allocation function of the market,and undermines the fairness and stability of the capital market.Can responsible investment,by actively advocating ESG governance principles and enhancing corporate governance efficiency and accountability,promote the stable and healthy development of the capital market?Using A-share listed non-financial companies on the Shanghai and Shenzhen Stock Exchanges as the research object and leveraging three-second slice stock trading data,the paper empirically tests the influence of ESG fund holdings on stock market manipulation and its underlying mechanism.This paper finds that ESG funds,characterized by self-reflective and self-discipline qualities as well as a community-oriented focus on corporate-social synergy,significantly curb stock market manipulation by improving the internal control quality and information transparency of the companies they invest in.These findings remain robust after a series of robustness tests.The heterogeneity analysis indicates that this inhibitory effect is more pronounced for enterprises located in regions with weaker financial regulation,enterprises with a higher degree of managerial short-sightedness,and non-state-owned enterprises.This paper expands the research boundary of responsible investment and provides references for regulators to prevent market manipulation.

关 键 词：责任投资 ESG 股票市场操纵 内部控制 信息透明度 

分 类 号：F830.91[经济管理—金融学]