| Since the establishment of Shanghai and Shenzhen Stock Exchange,China’s stock market has made great progress on the scale.By the end of 2017,the number of companies listed on Shanghai and Shenzhen Stock Exchange had been 3485,with a total market value of 56.71 trillion RMB.In addition to the growth on the scale,it is also worth paying attention to how the quality of development in China’s stock market is.In particular,the Fifth National Conference on financial work clarified the importance of safeguarding the national financial security,and pointed out that financial markets,financial institutions and financial product systems’ development should put quality in priority.As for the stock market,carrying out the conception that quality being in priority and efficiency being first is the fundamental requirement of improving serving the entity economy’s efficiency and preventing financial risk.The 18 th CPC National Congress also points out that socialism with distinct Chinese characteristics has entered a new era.On the new historical position,the problem that imbalanced development of socialism with distinct Chinese characteristics needs to be solved urgently.For China’s stock market,although the scale has made rapid progress,the abnormal fluctuations during the second half of 2015 indicate that the quality of China’s stock market still needs to be improved.Under such a background,it is of great significance to pay attention to studying about the quality of China’s stock market.Market disrupting behaviors such as market manipulation in China’s stock market have emerged in an endless stream all the time,which not only harms investors’ legitimate rights,but also is harmful for long-term and steady development of stock market.In fact,in order to maintain market integrity,regulating investment and transaction behaviors in a stock market has always been the focus of the security regulatory authorities.In view of this,this thesis starts from stock market quality’s perspective,selects closing price manipulation as the research object,tries to identify and monitor suspected closing price manipulation behaviors in China’s stock market,and demonstrates how manipulations affect stock market’s liquidity based on the monitoring results.Furthermore,this thesis sums up policy suggestions preventing closing price manipulation behaviors effectively,aiming to provide reference to regulatory authorities’ curbing closing price manipulation,maintaining market integrity and ensuring market quality.In this thesis,the study on closing price manipulation mainly carries out from three aspects: firstly,it is the monitoring study on closing price manipulation behaviors.Based on the variation characteristics stock price exhibits after closing price manipulation,this thesis constructs the identification model of closing price manipulation behaviors,and realizes suspected closing price manipulation behaviors’ monitoring by high frequency transaction data in China’s stock market.In order to ensure the effectiveness of identification model,this thesis further collects stock samples related with market manipulation cases CSRC has punished,and compares them with monitoring results from the identification model.It is difficult to obtain full book data including detailed customer order information,which restricts the promotion of market manipulation identification and monitoring research.However,closing price manipulation mainly affects stocks’ closing price through trading in secondary market,which creates conditions for realizing closing price manipulation’s monitoring based on public transaction data.This thesis starts from constructing identification model’s perspective to carry out researches about monitoring closing price manipulation,which will help to avoid the restrictions from full book data’s being unavailable,and will be of great significance to enrich research findings in stock market quality field.Secondly,it is the study on closing price manipulation behaviors’ effects on the liquidity of the stock market.So far,scholars at home and abroad mainly focus on market manipulation cases disclosed by stock exchanges and regulatory authorities,and use event analysis to study the impact of market manipulation on stock market liquidity.Compared with happened behaviors,the number of manipulated cases is less,and they are all non random sample data.The lack of a complete market manipulation database restricts empirical research’s development.In this regard,this thesis carries out research based on suspected closing price manipulation’s monitoring results,which effectively avoids the problems above.This thesis demonstrates how closing price manipulation affects stock market liquidity at both market level and security level.At market level,this thesis analyzes the dynamic relationship among trading,manipulation behaviors and market liquidity in China’s stock market,with directed acyclic graphs(DAG),forecast error variance decomposition and generalized impulse response and forecast error variance decomposition technology methods,and compares the dynamic relationship’s evolution in various market conditions.At security level,this thesis takes Shanghai Stock Exchange’s panel data as research samples,and demonstrates closing price manipulation’s influence mechanism by constructing the non-best quote ratio indicator,which is used to measure how less aggressive investor’s quoting strategy is.In the end,it is the study on closing price manipulation’s prevention.Improving the prevention effects of closing price manipulation is this thesis’ s final intention.Therefore,this thesis analyzes suspected manipulated stocks’ characteristics in Shanghai stock exchange and the influence of closing auction mechanism on closing price manipulation.Meanwhile,this thesis also summarizes useful international experiences concerning manipulation legislation,manipulation investigation and closing trading mechanism design.Based on the analyses above,this thesis puts forward policy suggestions for strengthening closing price manipulation’s supervision and prevention,from regulatory authorities,trading rules and listed companies’ perspective.Through the research above,this thesis forms the following conclusions: Firstly,suspected closing price manipulation behaviors’ monitoring results indicate that,except for the second half of 2015,during which China’s stock market fluctuates abnormally,suspected closing price manipulations in Shanghai stock market tend to relieve,which may originates from China’s stock market regulation’s strengthening.Secondly,at market level,manipulation behaviors may have influences on investors’ quoting strategies by exacerbating stock price’s fluctuations and decrease order’s non-execution risk,and affects transaction costs and market liquidity further,which is more significant when markets are in falling stages.Thirdly,at security level,closing price manipulation may exacerbate stock price’s fluctuations.Affected by that,order’s non-execution risks tend to decrease,cause investors’ quoting strategy less aggressive,and lead to stocks’ transaction costs increased and liquidity decreased.Fourthly,stocks with smaller total market capitalization,lower turnover rate and less active trading are more likely to be manipulated.Meanwhile,closing trading mechanism designs may also have influences on manipulation behaviors: closing auction system increases the costs of manipulators intervene in closing price,which may restrain closing manipulation behaviors. |
