Research On Stock Trading Manipulation In The Perspective Of Institutional Investors' Trading

With the development of capital markets and the maturing of supervision and market system, the means and methods of stock manipulation which is widespread are also increasingly complex and subtle. At the same time, institutional investors are growing and increasingly becoming an important participant in the capital market. So, this article studies manipulation in capital market from the perspective of institutional investors trading.First, the paper reviews research results on the institutional investors,trading manipulation and their market impact, secondly, on the basis of this, describes the process and the transaction manners of manipulator manipulate; then analyzes the trading behavior in three stages of three types of investors:manipulator,arbitrager and follower, make hypothesis on this basis; and finally using logistic model to choose the sample in China's capital market, with the empirical evidence,this paper inspects the subject and the way of manipulation. Concluded as below:1. in the period of stock manipulation, the proportion of institutional investors trading is much lager than the mean of the market, and there is a significant positive correlation between institutional investors trading and stock price volatility which is higher than non-manipulation period. These show that in China capital market, the institutional investor is the principle of trading manipulation;2. on the basis of last conclusion, this paper analyzes the correlation between trading volume of institutional investors and the direction of price volatility. Found that in the period of stock manipulation, the percentage institutional investors buy (sell) is higher than they sell (buy) when stock price moves up (falls), and the percentage institutional investors buy or sell is closely related to the direction of stock prices fluctuation. Which show that in China capital market, the way of institutional investors'manipulation is buying stocks when the price is low, after they pull up the price selling to seize high profits.The innovations of this paper are as below:1. according to DSSW model that De Long et al (1990) established, based on the arrangement of short selling prohibition and naive investors,this paper shows the major market participants and transactions, and examines the subject and main way of manipulating;2. we use the logistic model to select empirical sample, which improves the original study that lack of sample selection, not only will not cause loss of samples, but also will not make excessive. Application of logistic model makes the research findings of manipulation on the trading more accurate, and also helps for the future of such research;3. there is a different time window chosen in the non-manipulation period to make the empirical research, this paper analyzes the relationship between stock price changes and trading of institutional investors by comparing the length of time window.