A Recognition Study Of Price Manipulation In China's Stock Market

Price manipulation is one of the three frauds in the stock market,and the market is very harmful.Its existence will not only reduce the efficiency of market resource allocation,exacerbate the fluctuation of securities market,increase the risk of market investment,but also weaken the enthusiasm of market investors in market information and investment in securities.The stock market is an important part of the stock market,and it is also a heavy disaster zone of price manipulation.Based on the current situation of price manipulation in China's stock market,this paper analyzes the price manipulation behavior of stock market from two aspects of theory and demonstration.In the analysis of stock market manipulation as well as the status of stock market manipulation based response to the market,through the new index of reaction control strategy essence,constructs the recognition model of stock market manipulation,to identify the stock market manipulation.On the basis of the existing research results at home and abroad,this paper studies in the following aspects:(1)Starting from the actual situation of China's stock market,and taking the price manipulation case of China Securities Regulatory Commission from 2015 to 2017 as the object of this article,this paper analyzes the characteristics of price manipulation in China's stock market and the common characteristics of the manipulated stock.(2)Through the construction of the VAR model,the response of the stock market to market manipulation is analyzed.Taking the excess return rate as an agent of manipulation events,we study and analyze the changes of trading volume,amplitude,turnover rate and volatility during the manipulation event.(3)The specific price manipulation case,summed up the essence of strategy can reflect the operating index,measure,measure the amount of shock response,the price impact measure spread index,and the introduction of high-frequency data in stock market trading days index into the Logistic model and get the recognition model handling events.According to the study,the following conclusions are obtained.(1)The stock market will respond to the manipulation of stock prices in terms of earnings,volume,amplitude,and volatility.Operators usually choose stocks with small equity and poor performance to carry out manipulation.In the early stages of the implementation of manipulation,trading volume,turnover rate,the amplitude has a greater impact,trading volume and turnover rate of change in the manipulation of later gradually slowed down,with the implementation of the present amplitude manipulation cross transformation of positive and negative,volatility during the implementation of manipulation has been a great change,show abnormal fluctuations it will cause the stock manipulation.(2)After three indicators entered the Logistic model,the accuracy rate of the sample is 94.6%,the accuracy of the experimental sample is 76.7%,and the accuracy rate is high,which indicates that the model can achieve certain manipulation event recognition function.Meanwhile,it shows that when the operation strategy is implemented,there will be some influence on the price,the quota and the ratio of sale to price in the micro market of the stock market.The regulatory authorities can also identify and control the manipulation events from this aspect.Finally,based on all the study,combined with the characteristics of the stock market at the present stage of our country,mainly through strengthening information disclosure,strengthen investor education,solve the problem of equity segmentation,perfecting and strengthening the structure,investor accounts and transactions to monitor and regulate the behavior of the government and improve laws and regulations as soon as possible,for regulators to better on the market provides relevant suggestions for anti manipulation.