| Since Shanghai Stock Exchange established in 1990,China's stock market has developed rapidly and has a good prospect.However,as other developed countries,China's stock market felt into the vortex of market manipulation inevitably.Especially after several international financial crisis,China's market manipulation become even crazier,which seriously restricts the healthy development of China's economy.Stock price manipulation,as an important form of market manipulation,specifically refers to the behavior,that some people use their own advantages(such as capital,information and stake)and abuse their power regardless of the national laws,confuse other investors by making some market trading illusions and then raise the market volatility,which cause the stock price fluctuations,in order to gain extra profit at the end.Stock price manipulation has been a topic with high frequency,and appeared as the appearance of securities market,developed as the development of the securities market.As long as the stock market exists,there will appear some illegal people in order to gain high profits by manipulating the market artificially and regardless of national laws and regulations.Therefore,the manipulation of stock prices will produce an adverse impact on the development of China's stock market not to be eliminated.Stock price manipulation can not only affect the normal market pricing function and investment function,but also mislead other investors and make the entire stock market's normal trading function in disorder.China's stock market is immature and unstable,though we cannot stop the stock price manipulation from happening,we can summarize the behaviors of the market manipulation and make theoretical analysis and empirical research,in order to find out the general rule,know about the leaks of stock market and effectively prevent the manipulation from appearing high frequently by monitoring typical stock characteristics.This paper use the method of theoretical and empirical analysis,focusing on 6 price manipulation cases happened in real stock market,which investigated by China Securities Regulatory Commission during 2016.By using the real data of the 6 cases,this paper research the common characteristics of the price manipulation cases by combining the GARCH model and sum up the general rules of stock manipulation during the control period.Finally,the paper provides the distinguishing principle and policy recommendations.First of all,this paper makes an empirical analysis of China's stock manipulation cases happened after 2012.Mainly study the equity scales,types,degree and forms of manipulation.Then summarize the common characteristics of the manipulation behaviors,point out that the mainly present manipulation form is artificial manipulation;the modes are wash sale and continuous trade;the degree is high;the proportion of shares is big and the equity scale is smaller,the manipulation is easier.At the same time,the paper examine the correlation between the operating period,control degree and proportion of shares,which shows that with the proportion of shares increase,the control degree becomes greater,and with the period rises,the control degree and the proportion of shares decrease,which are all not significant.This can explain that in order to reveal the nature of stock price manipulation,we need not only consider the operators' factors,but also the psychological expectations of investors,market supply and demand,market regulation,and so on.Secondly,in this paper,an empirical analysis is made about the transaction characteristics during the manipulation period and the research data is divided into three stages: before manipulation,during manipulation and after manipulation by combining the 6 specific cases.With comparative analysis,we can discover that the rate of return and volatility in manipulation period are higher than the non-manipulation period.However,the change of the turnover rate is not obvious.Then,the GARCH model is used to simulate the 6 stock return series and we can set a new parameter value S to represent the volatility.By comparing the size of S and 1,we can determine whether the stock's fluctuation is in the normal range and the stock is being manipulated or not..Finally,based on the stock characteristics proposed in the third chapter,several constructive policy recommendations are provided as follows: strengthen the information disclosure and investors' education,solve the equity segmentation,improve the structure of investors,strengthen monitor the accounts and transactions and clean up the government's act,perfect the laws and regulations,which accord China's current stock market characteristics. |
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