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股价操纵成功的关键是市场上能形成知情交易者和市场操纵者的混同均衡,而此种混同均衡的形成又是与行动—驱使交易者的数量、预期股价的分散程度、知情交易者掌握信息的实现概率、知情交易者长期持有股票的成本、市场操纵者占交易者的比例等因素有关。基于可获取的股价操纵案例,我们利用单尾T检验和时序过程的标准化方法实证检验了市场操纵过程中的股价变化以及行动—驱使交易者的数量、预期股价的分散程度等因素对市场操纵行为及其利得的影响。同时本文发现,当市场上存在着操纵者的时候,严厉的监管措施会减少操纵者的数量增强市场的有效性,但却使得其他少数市场操纵者的操纵行为更容易成功。
The key to successful stock price manipulation is the formation of a mixture equilibrium between informed traders and market operators in the market. The formation of such a mixture equilibrium is also related to the number of traders driven by the number of traders, the expected degree of stock price dispersion, The probability of realization, the cost of long-term holdings of informed traders and the proportion of market operators to traders. Based on the available stock price manipulation cases, we use the one-tailed T-test and the standardization method of the timing process to empirically test the change of the stock price in the market manipulation and the action-driven number of traders, the expected dispersion of the stock price and other factors on the market manipulation behavior And its impact on profits. At the same time, we find that when there are manipulators in the market, the strict regulatory measures will reduce the number of manipulators to enhance the effectiveness of the market, but it makes the manipulation of other minority market manipulators more successful.