Research On Abnormal Trading Behavior And Control For IPO In Securities Market

With the development of the securities market, IPO abnormal trading behaviorproblems increase gradually recent years. The behaviors include high price, high p/eratio, excess funds raised phenomenon, manipulate the stock, insider trading, drive upprices and ash the stock share, stock price manipulation, insider trading. All of thesebehaviors reflect that our IPO securities market system is designed defectively, andour securities market exists information asymmetry, the lack of fairness and efficiencyand moral risk. So it is necessary to deepen the system and mechanism reform,strengthen the regulation of the securities markets and managers behaviors in order tobuild a fair and unity market system.This thesis divides the abnormal trading behavior into two categories: one is IPOmarket abnormal trading in the primary market. It mainly refers to the deregulationbehavior of stock market such as high rate, high p/e ratio, excess funds raisedphenomenon and hype behavior among the issuance company, securitiesintermediaries and so on. the other is IPO market abnormal trading in the secondarymarket. It mainly includes listed company executives cash the stock share, stock pricemanipulation, insider trading, and make the stock market lack investment function inthe secondary market. These behaviors impact on the investor returns seriously, andthey connect with each other directly and the root cause is that IPO system is notperfect.At present, the research of IPO securities market abnormal trading behaviorsystematacially is less. With the trading behavior in IPO stock market anomalies asresearch object, the thesis summarizes the domestic and foreign stock market researchtheory on IPO abnormal trading behavior and control mechanism, present fourdecision-making principle such as fair and efficiency, the equivalence of power,responsiblity and benefit, incentive-compatibility and individual rationality as thestudy main route, makes models by using the Game Theory, Prospect Theory,Principal-agent Theory. The specific performance is that studying the IPO abnormaltrading behavior and its game mechanism, on the basis of analyzing the securities market abnormal trading behavior in the primary and secondary market, and using thethe perfect information dynamic game to connect the abnormal trading behaviorrelation between the first and secondary market, Finally the thesis analyses theabnomal trading behaviour and its game mechanism through the case analysis ofgreen earth biological technology Co., Ltd and the case of dividend, tests thefeasibility of the operation. Through the IPO system comparison among overseasstock market and our securities market, the thesis summarizes the strategies to controlabnormal trading behavior, and discusses the control way separately in game theoryand the principal-agent theory base on the four kind of decision-making principle.Through the study, the thesis gains the following research results and conclusion.Firstly, through the literature review, I find that the game model in the stockmarket participants behavior at present is mostly about Game Theory of two mainbody, and there are few materials research on the game model conductivity of theprimary market and the secondary market.This thesis analyzes the abnormal trading behaviors between the primary andsecondary market, and make use of the different game model to analyze the differentmarket conditions. At the same time it points that China securities market IPOabnomal trading behavior mainly comes from the IPO mechanism system flaw. As adynamic process, IPO system reform should be based on the experience managementof the advanced countries orderly and phasely, and cannot copy other countriesexperience directly.Secondly, in securites market IPO abnormal trading behaviors decision-makingmechanism, the principle such as fair and efficiency, the equivalence of power,responsiblity and benefit, incentive-compatibility and individual rationality should befollowed. When studying the IPO abnomal behaviors based on the fourdecion-making principle, we can find the feasible way to control and constraint thebehavior of participants, maintain the normal market order, and ensuring the healthyand orderly development of the securities market.Thirdly, the CSRC supervision and efficiency is the important conditions toprevent the abnormal trading behavior of first market. Analyze the relationship amongthe issuer, sponsor and securities regulatory commission with Game Theoy. Theissuer and intermediary institutions will carry on the abnormal trading to pursue theirown interests. Securities regulatory commission supervises the primary market anomalies trading behavior, and need to improve the punish strength in abnormaltrading behavior, in order to meet the individual rational principles and form goodrestriction mechanism. In the regulatory process, it is necessary to strengthen thepunishment strength and investigation dynamics, ensure the incentive compatibility ofsecurity market.Fourthly, executives behavior of taking advantage of information to cashneeds not only the supervision of the CSRC, also the incentive mechanism ofsupervision and control of listed companies. Using the uncomplete informationdynamic game to construct the secondary market game model of the listed companyexecutives and CSRC, the thesis points that CRSC should supervise the listedcompany executives behaviors such as selling the stocks optional, insidering tradingetc. Company executives will choose carefully and often tend to not selling thestockswhen taking the high cost and low cash income. So we can give an appropriateincrease about the executives cost to cash, and reduce cash income. From the view ofthe securities supervision, supervision influence the happen of abnormal behavior ofsecondary market transaction, the CSRC should reduce the regulatory costs, andstrengthen the legislation to punish the cash behavior. From the view of the listedcompany, it should strengthen the supervision mechanism by assuming certain risksfor the company,when spurring executives, in order to enhance their sense ofresponsibility, and reduce the practices probability for executives abnormal trade.Fifthly, the abnormal trading behavior is associated with each othe closelybetween the first market and the secondary market. The manipulation of securitiesmarket price damages the legitimate interests of investors badly. They finally reflectin the stock market price movements. Through the dynamic analysis about differentstages of listed companies and investors strategies, the thesis propose that variousfactors can effect the behavior jointly. stock dividends strategy can help inhibit thebehavior stock price manipulation.High growth, high development companies should not be forced dividendsbecause of share price and the enterprise stability, that need a lot of money, or it maybe damage the investors income. The companies that the market price volatility isvery big, executives selling stock optionally, and other abnormal trading behavioreffect and investors most in the red state of enterprise, so they should be forced toshare out bonus, and maintain the interests of investors a certain extent.