Empirical Study Of Chinese Stock Market Manipulation

Market manipulation is one of the three major stock market frauds with huge market hazards. Its presence will not only reduce the efficiency of market allocation of resources, and increase stock market volatility, increase investment risk, weaken stock market investors’ enthusiastic participation of stock investment. China’s stock market since its inception, frequent incidents of market manipulation, market manipulation flooding. Although in recent years China’s securities regulatory efforts have been strengthened, institution-building mechanism in the market continues to improve, the stock market manipulation situation has improved compared with the first time, but still a lot of presence. Compared with market manipulation before the split share structure reform, stock market manipulation emergence of new changes. Therefore, China’s stock market manipulation research, helps to prevent and combat stock market manipulation, both theoretical significance, but also has a strong practical significance.In this paper, the status quo of China’s stock market manipulation as the background, through theoretical analysis and empirical research analyzes the current situation of the stock market manipulation, the stock market reaction to market manipulation, and to build recognition model of stock market manipulation. Drawing on existing research results at home and abroad on the basis of this paper to study the following aspects.(1) From the actual situation of Chinese stock market point of view, the object of this paper is the cases of China Securities Regulatory Commission disclosed herein market manipulation in 2006-2014.(2) Construction of multiple linear regression model, phased analysis of the stock market reaction to market manipulation. Manipulation of the previous stage, respectively. Manipulation stage and post-manipulation stage regression, in order to manipulate the previous stage as a reference in normal transactions, analysis of specific reaction in the manipulation of the stage and the stage after manipulating the stock market.(3) Under the researches of above, this paper used Logistic model to identify the stock market manipulation. This paper used factor analysis to get the common factors. And used single factor model to recognize the manipulated securities. Then used the multivariate model to identify the manipulated securities. And found that the accuracy of the multivariate model is higher than the single factor model.According to the study, we can obtained the following conclusion:(1) Chinese stock market manipulation personal, short-term trend began to take shape. Currently strong burst of stock market manipulation, concealment, wide range of hazards, is not conducive to the healthy development of normal investment behavior of investors and the stock market.(2) The stock market will continue to react to the market manipulation. In China’s stock market, stock trading normally meet a certain extent the law of value investing, but there are also heavy speculation, the higher the overall market risk. Market manipulation manipulation not only have a serious impact on the survival period of the subsequent stock exchange will also be adversely affected. The stock market will be in profit, trading, risk and other aspects of market manipulation react after the manipulation, the stock market will continue to continue to run at a high level of risk deviate from the value of the investment can not be immediately restored to normal trading status, do not conducive to the sustainable development of the stock market.(3) Multivariate recognition model constructed on the stock market manipulation has better recognition ability to more accurately identify the presence of stock market manipulation. This model can be used to identify stock investors if there is manipulation in the investment process, assist investors in equity investments, securities regulators also have some reference value.According to the purpose of this study, combined with the results of this study made the following policy recommendations:(1) Government information should be disclosed by strengthening management, increase market manipulation offenses such penalties, while strengthening external supervision and management methods, improve the securities market regulation.(2) Small investors should strengthen theoretical study and establish the correct investment philosophy.(3) Fostering institutional investors and improve investor structure.(4) Strengthening the social credit system. Strengthened by enhancing civic and moral level, and improve the national credit system networking social credit system, etc., to help build the integrity of the securities market transactions, prevent and combat market manipulation.