Information-based Market Manipulation And Securities Market Quality

In the context of the new economy,media formats are becoming increasingly diversified.The rise of social media has expanded the channels for disseminating information in the securities market.Social networking ecosystems,represented by We Chat,Weibo,Facebook,Twitter,and others,have become an important channel for people to access vast information resources,thanks to their more convenient and faster dissemination characteristics and lower search costs.The development of information technology has brought many benefits to society,but it has also facilitated information-based manipulation of the securities market.Information manipulators control the price trend in a certain direction and profit from it by releasing false rumor information into the market and deceiving other investors into trading along with them.Information manipulation can cause significant fluctuations in security prices and have an impact on market liquidity and price efficiency,causing great damage to the quality of the securities market.Based on the efficient market theory,noise trading theory,information asymmetry theory,market equilibrium theory,and existing research on market manipulation,this article takes manipulative information dissemination as a starting point to explore in depth the mechanism of information-based manipulation’s impact on the quality of the securities market from a theoretical perspective.The main research content of this article includes:Firstly,the impact of dissemination speed and precision of manipulative information on the quality of the securities market.Assuming that the manipulative information released by information manipulators contains fundamental information and artificially fabricated noise information and that manipulative information dissemination has a certain speed,this section constructs a rational expectation equilibrium model that considers manipulative information dissemination.Through equilibrium solving,it analyzes the impact of the speed and precision of manipulative information dissemination on the number of noise traders,market liquidity,price efficiency,and price volatility in the security market.This section found that the speed and accuracy of manipulative information dissemination are one of the determining factors of the extent to which information-based manipulation affects the quality of the securities market.Secondly,the impact of manipulative information dissemination speed and precision on the information acquisition strategy of informed traders and its consequences.Internalizing the information acquisition of informed traders into the trading decision-making process under the information-based manipulation environment,this section constructs a rational expectation equilibrium model that considers trader information acquisition and then analyzes the impact of manipulative information dissemination speed and precision on the information acquisition strategy of informed traders and the impact on market liquidity,price efficiency,and price volatility through this trading strategy.This section found that the speed of manipulative information dissemination has an incentive effect on informed traders’ information acquisition,and the precision of manipulative information has a crowding-out effect on informed traders’ information acquisition.The cost of trader information acquisition can improve market liquidity and increase price volatility,while its impact on price efficiency shows a non-monotonic feature.Finally,the impact of time difference in obtaining information by informed traders on the results of information-based manipulation.Due to technical barriers and insider information leaks,there may be a certain time difference in the acquisition of information by informed traders.Assuming the presence of three types of traders in two periods of securities trading markets: early informed traders who obtain fundamental information in the first period,later informed traders who obtain the homogeneous information in the second-period,and noise traders who do not have such information.A rational expectations equilibrium model is constructed that takes into account the time difference in information acquisition of informed traders.The model analyzes the impact of manipulating information dissemination speed and precision on the trading decisions of early and later informed traders,and further examines the proportion of informed traders,the dissemination speed and precision of manipulative information on the market liquidity,price efficiency,and price volatility in both periods.This section finds that the dissemination speed and precision of manipulative information will affect the strength of informed traders’ response to information.The trading decisions of later informed traders are influenced by the adverse selection risk from informed traders.Moreover,the faster dissemination and more precision the manipulative information,the smaller the impact of adverse selection risk on the trading decisions of later informed traders.The conclusion of this study enriches the theory of behavioral finance and provides a new perspective for the study of information-based market manipulation.It also provides reference for the regulation and suppression of information-based manipulation behavior.