Design And Application Of Stock Market Manipulation Monitoring Hybrid Model

Since the 90 s of last century,the Shanghai Stock Exchange was formally established.The rapid development of China's stock market has undergone a variety of changes.Since the beginning of the establishment of the Chinese stock market,there have been many problems,and the market manipulation has been a problem that has plagued the healthy development of the Chinese stock market.Market manipulation refers to any units or individuals to seek benefits or reduce losses,with their capital,information and other advantages of market manipulation or breach of privilege,the impact of stock market prices,making the stock market illusion,inducing the investors make investment in stock without knowing the truth,disturbing the order of the securities market behavior.Market manipulation seriously restricted stock market play the basic functions of competition in the market,the stock price distortion on the stock,the actual value of the reaction,the price discovery function was weakened greatly,reduced the efficiency of market allocation of resources increased volatility,the stock market has undermined investor confidence and enthusiasm.The phenomenon of market manipulation is widespread and serious,which has always been a serious concern of the countries all over the world,and constantly improve the supervision system of stock market and improve the supervision of illegal actions such as market manipulation.In accordance with China's current situation,influence the market manipulation problem is very serious,the theoretical research and empirical research on market manipulation and regulation relative to the western developed countries is relatively backward,the development of the supervision system of the stock market is difficult to adapt to the objective need of the regulation of market manipulation.This article is divided into five parts to carry on the theoretical analysis and the empirical analysis to the market manipulation.The first part reviews the domestic and foreign scholars on the theory of market manipulation and describes the current situation of domestic market manipulation;the second part summarizes the related concepts and theoretical basis of market manipulation,mainly including the concept of market manipulation,market manipulation theory and domestic reasons of the phenomenon of market manipulation;10 market China's stock market in the third part,from 2000 to 2015 fifteen years the Commission announced on the manipulation of the case analysis case,the main contents include 10 main manipulation manipulation,the change of stock indexes and operating process,such as volatility and turnover rate,to prepare for the establishment of monitoring model;fourth a detailed description of the modeling steps,this paper will double model CAPM model and GARCH model are combined to monitor the market.This paper will combine the longitudinal behavior,after the model called GARCH-? model;fifth part control on 6 GARCH-? model and 12 non manipulation incidents carried out empirical research and draw the corresponding conclusions;the last part based on the part of the conclusion of the government and regulatory authorities put forward policy recommendations.The innovation of this paper is to combine the CAPM model and GARCH model,combined model called GARCH-? model,the sample data must be identified through dual GARCH-? model to determine whether it can be manipulated to enhance the effectiveness of the model to judge the accuracy and GARCH model.In the GARCH-?,the CAPM model is used to judge whether the sample is manipulated by the sample of 6(12manipulations)and the 12 non manipulations.After screening,the selected samples are tested by the GARCH model to determine whether the sample data is manipulated.A beta coefficient is very sensitive to the fluctuation of stock manipulation,the operator in the market after the beta coefficient will quickly produce fluctuations,the use of beta coefficient detectionimproves that market manipulation speed,reaction speed of the appropriate regulatory authorities are more agile;by further testing of the GARCH model,the accuracy rate of identification it will greatly improve.Many scholars use GARCH model to do the post verification,there is lag,the above said the beta is very sensitive to manipulation,it can be said that the use of CAPM model is a real-time monitoring of the stock,this paper also halved the window period to verify the accuracy of the model,its accuracy is slightly lower,but the event the efficiency is doubled,which enhance the timeliness of model.GARCH-? model not only greatly improves the accuracy of the determination,but also because of the sensitivity of beta manipulation,discovered that the manipulation time is greatly shortened,enhance the timeliness of the model,is very helpful to the government and the supervision department of the market manipulation behavior to make accurate and quick judgment,in order to take effective measures of anti manipulation and protect the investment interests,safeguard the healthy and stable development of the stock market.