China A-share Market Trading Stock Price Manipulation Of Empirical Research

In China, the A-share market is a key component of China's capital market. Whether the function of the A-share market that collecting capital and allocating the resources could run normally will has a great impact on macroeconomics of China. The study of the A-share market manipulation has great practical significance for adjustment of China's securities regulatory policies and strengthening supervision over the stock market, so as to promote the healthy growth of the stock market and the economic prosperity.This paper focuses on trade-based manipulation. As through research on the China Securities Regulatory Commission penalty notices for nearly three years, it confirmed that the trade-based manipulation is the main types of manipulation of the stock market now. And then it also confirmed the main manipulator, the main method and the fundamental way. This paper proceeds from the abnormal return. It selected 1,094 listed companies on Shenzhen and Shanghai stock markets in 2003 and 2004 as a statistical sample. This paper presented a mathematical model for variable significant test, and confirmed the abnormal return of trade-based manipulation is one of the main sources of abnormal return on the stock market. Second, through analysis the relationship between the abnormal return and the two effective manipulation variables by curve, it proposed the judgement of the existence of trade-based manipulation. That is, when the rate of shareholders change is less than zero and the number of shareholders drop sharply, or the abnormal return increace rapidly when the number of stock in circulation is less than 200,000,000 shares, it exists trade-based manipulation. Finally, according the correlation between trade-based manipulation and the rate of shareholders change by graphic analysis, this paper has built single factor estimation models about abnormal return of the trade-based manipulation. Due to the strong correlation between the abnormal return and the number of stock in circulation, the two-factor estimation models have also been builted. At the end the paper furtherly illustrate the practical application of the models. Overall, the study of this-paper provides an effective method of identifying the trade-based manipulation for Chinese securities regulators.