基于GARCH模型的股票市场价格操纵研究

发布时间：2018-06-30 19:03

本文选题：股价操纵 + GARCH模型　；参考：《济南大学学报(社会科学版)》2017年06期

【摘要】：随着经济的发展,中国股票市场存在价格操纵的风险缺口,相关监控措施亟待完善,在此重点研究了2016年由中国证监会查处的6起真实发生的股价操纵事件,并以这6起操纵事件的真实交易数据为基础,结合GARCH模型对其共性特点进行实证研究,总结股票被操纵期间所表现出来的一般规律。挑选出具有代表性的股票特征,包括股票收益率和波动性、股权集中度、股票流动性和股本规模,作为中国监管机构重点关注并密切监控的目标对象。以中国现阶段股票市场的真实交易数据为基础,对股价的波动性特征进行实证研究并检验。根据所选取的典型特征,结合中国现阶段的制度体系,从加强信息披露、加强投资者教育、尽快解决股权分割、完善投资者结构、加强对账户和交易的监控、规范政府行为和完善法律法规方面,给出相应的政策建议。
[Abstract]:With the development of the economy, there is a risk gap of price manipulation in China's stock market, and the relevant monitoring measures need to be improved urgently. In this paper, six real stock price manipulation incidents investigated and dealt with by the China Securities Regulatory Commission in 2016 have been studied. Based on the real transaction data of these six manipulating events, this paper makes an empirical study on the common characteristics of GARCH model, and summarizes the general rules during the period of stock manipulation. The typical stock characteristics, including stock yield and volatility, equity concentration, stock liquidity and equity size, are selected as the targets for Chinese regulators to focus on and monitor closely. Based on the real trading data of Chinese stock market at present, this paper makes an empirical study on the volatility characteristics of stock price. According to the selected typical characteristics, combined with China's current institutional system, from strengthening information disclosure, strengthening investor education, resolving equity segmentation as soon as possible, perfecting investor structure, strengthening the monitoring of accounts and transactions, In the aspect of standardizing government behavior and perfecting laws and regulations, the corresponding policy suggestions are given.
【作者单位】：河南大学财务处;河南大学管理科学与工程研究所;
【基金】：国家社科基金项目“基于大数据的资本市场操纵行为量化、监测与监管的交互式模型研究”(项目编号:17BJY194)的阶段性成果
【分类号】：F832.51

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